Journal of Financial Risk Management

Vol.9 No.4(2020), Paper ID 105778, 14 pages

DOI:10.4236/jfrm.2020.94026

 

Portfolio Research Based on Mean-Realized Variance-CVaR and Random Matrix Theory under High-Frequency Data

 

Yajie Yang, Yipin Zhu, Xia Zhao

 

School of Statistics and Information, Shanghai University of International Business and Economics, Shanghai, China
School of Statistics and Information, Shanghai University of International Business and Economics, Shanghai, China
School of Statistics and Information, Shanghai University of International Business and Economics, Shanghai, China

 

Copyright © 2020 Yajie Yang, Yipin Zhu, Xia Zhao et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

 

How to Cite this Article


Yang, Y. , Zhu, Y. and Zhao, X. (2020) Portfolio Research Based on Mean-Realized Variance-CVaR and Random Matrix Theory under High-Frequency Data. Journal of Financial Risk Management, 9, 480-493. doi: 10.4236/jfrm.2020.94026.

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