Please use this identifier to cite or link to this item: http://hdl.handle.net/10316/84802
Title: On the Gains of Using High Frequency Data in Portfolio Selection
Authors: Brito, Rui Pedro 
Sebastião, Helder 
Godinho, Pedro 
Keywords: Portfolio Selection; utility maximization criteria; higher moments; high frequency data
Issue Date: 2018
Project: Portuguese Foundation for Science and Technology (FCT) under the scholarship SFRH/BD/94778/2013 
Serial title, monograph or event: Scientific Annals of Economics and Business
Volume: 65
Issue: 4
Abstract: This paper analyzes empirically the performance gains of using high frequency data in portfolio selection. Assuming Constant Relative Risk Aversion (CRRA) preferences, with different relative risk aversion levels, we compare low and high frequency portfolios within mean-variance, mean-variance-skewness and mean-variance-skewness-kurtosis frameworks. Using data on fourteen stocks of the Euronext Paris, from January 1999 to December 2005, we conclude that the high frequency portfolios outperform the low frequency portfolios for every out-of-sample measure, irrespectively to the relative risk aversion coefficient considered. The empirical results also suggest that for moderate relative risk aversion the best performance is always achieved through the jointly use of the realized variance, skewness and kurtosis. This claim is reinforced when trading costs are taken into account.
URI: http://hdl.handle.net/10316/84802
ISSN: ISSN: 2501-3165
DOI: 10.2478/saeb-2018-0030
Rights: openAccess
Appears in Collections:I&D CeBER - Artigos em Revistas Internacionais
FEUC- Artigos em Revistas Internacionais

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