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Portfolio selection based on a new constructed Sharpe index using high frequency data
WANG Yan, CHEN Min, ZHAO Zi-long
Systems Engineering - Theory & Practice ›› 2015, Vol. 35 ›› Issue (1) : 17-25.
PDF(1002 KB)
PDF(1002 KB)
Portfolio selection based on a new constructed Sharpe index using high frequency data
Both stock selection and optimal portfolio choice play crucial roles in setting portfolio. This paper proposed a new method for stock selection based on constructing a Sharpe index using intra-day high frequency data. Several portfolio strategies are considered too. An out-of-sample empirical analysis with respect to a sample of A shares listed on Shanghai stock exchange shows that the new stock selection method often offers higher risk-adjusted returns and lower levels of risk. Moreover, combined with optimal portfolio strategy, the new method can get considerable excess returns.
stock selection / high frequency data / Sharpe index / portfolio strategy / out-of-sample / excess return {{custom_keyword}} /
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