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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2019-07-01
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| Series: | Journal of Risk and Financial Management |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1911-8074/12/3/116 |