Modeling and forecasting realized portfolio diversification benefits
- For a financial portfolio, we suggest a realized measure of diversification benefits, which is based on intraday high-frequency returns. Our measure quantifies volatility reduction, which could be achieved by including an additional asset in the portfolio. In order to make our approach feasible for investors, we also provide time series modeling of both the realized diversification measure and realized portfolio weight. The performance of our approach is evaluated in-sample and out-of-sample. We find out that our approach is helpful for the purpose of portfolio variance minimization.
Author: | Vasyl GolosnoyORCiDGND, Benno HildebrandtGND, Steffen KöhlerGND |
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URN: | urn:nbn:de:hbz:294-67623 |
DOI: | https://doi.org/10.3390/jrfm12030116 |
Parent Title (English): | Journal of risk and financial management |
Publisher: | MDPI |
Place of publication: | Basel |
Document Type: | Article |
Language: | English |
Date of Publication (online): | 2019/11/26 |
Date of first Publication: | 2019/07/11 |
Publishing Institution: | Ruhr-Universität Bochum, Universitätsbibliothek |
Tag: | HAR models; diversification benefits; minimum variance portfolio; realized measures |
Volume: | 12 |
Issue: | 3, Artikel 116 |
First Page: | 116-1 |
Last Page: | 116-16 |
Institutes/Facilities: | Lehrstuhl für Quantitive Analyse (Statistik / Ökonometrie) |
open_access (DINI-Set): | open_access |
faculties: | Fakultät für Wirtschaftswissenschaft |
Licence (English): | Creative Commons - CC BY 4.0 - Attribution 4.0 International |