Portfolio Selection with Irregular Time Grids: an example using an ICA-COGARCH(1, 1) approach
Francesco Bianchi (),
Lorenzo Mercuri () and
Edit Rroji ()
Additional contact information
Francesco Bianchi: Independent
Lorenzo Mercuri: University of Milan
Edit Rroji: University of Milano-Bicocca
Financial Markets and Portfolio Management, 2022, vol. 36, issue 1, No 3, 57-85
Abstract In this paper we consider a portfolio selection problem defined for irregularly spaced observations. We use the Independent Component Analysis for the identification of the dependence structure and continuous-time GARCH models for the marginals. We discuss both estimation and simulation of market prices in a context where the time grid of price quotations differs across assets. We present an empirical analysis of the proposed approach using two high-frequency datasets that provides better out-of-sample results than competing portfolio strategies except for the case of severe market conditions with frequent rebalancements.
Keywords: Irregular grids; Independent Component Analysis; Continuous GARCH; Risk measures (search for similar items in EconPapers)
JEL-codes: C11 C51 G17 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://link.springer.com/10.1007/s11408-021-00387-3 Abstract (text/html)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:kap:fmktpm:v:36:y:2022:i:1:d:10.1007_s11408-021-00387-3
Ordering information: This journal article can be ordered from
http://www.springer. ... nt/journal/11408/PS2
Access Statistics for this article
Financial Markets and Portfolio Management is currently edited by Manuel Ammann
More articles in Financial Markets and Portfolio Management from Springer, Swiss Society for Financial Market Research Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().