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中国科学院数学与系统科学研究院机构知识库
KMS Of Academy of mathematics and systems sciences, CAS
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Chen Min [1]
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Asset selection based on high frequency Sharpe ratio
期刊论文
JOURNAL OF ECONOMETRICS, 2022, 卷号: 227, 期号: 1, 页码: 168-188
Authors:
Wang, Christina Dan
;
Chen, Zhao
;
Lian, Yimin
;
Chen, Min
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Submit date：2022/04/29
Asset selection
High frequency Sharpe ratio
Ultrahigh dimensional
Serial correlation
Sure screening property
