Skip navigation
Skip navigation

Equity portfolio diversification with high frequency data

Alexeev, Vitali; Dungey, Mardi


Investors wishing to achieve a particular level of diversification may be misled on how many stocks to hold in a portfolio by assessing the portfolio risk at different data frequencies. High frequency intradaily data provide better estimates of volatility, which translate to more accurate assessment of portfolio risk. Using 5-min, daily and weekly data on S&P500 constituents for the period from 2003 to 2011, we find that for an average investor wishing to diversify away 85% (90%) of the risk,...[Show more]

CollectionsANU Research Publications
Date published: 2014
Type: Journal article
Source: Quantitative Finance
DOI: 10.1080/14697688.2014.973898


File Description SizeFormat Image
01_Alexeev_Equity_portfolio_2014.pdf579.3 kBAdobe PDF    Request a copy

Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  19 May 2020/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator