Portfolio choice with high frequency data: constant relative risk aversion preferences and the liquidity effect

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firouz dehghan mohammad; Saeidi Hadi; Mohammadi Shaban; elahi ghasem

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2019 | Volume:10 | Issue:38 Page(s): 180-214

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Title

Portfolio choice with high frequency data: constant relative risk aversion preferences and the liquidity effect

Author(s)

firouz dehghan mohammad | Saeidi Hadi | Mohammadi Shaban | elahi ghasem | Issue Writer Certificate

Keywords

portfolio selectionQ2

high frequency dataQ1

Constant relative risk aversionQ1

Abstract

An investor Constant relative risk aversion. pursues two goals of expected utility increases and reduces expected portfolio liquidity expectations. In the current study, the Constant relative risk aversion. utility using actual portfolio fluctuations, real asymmetry, real elongation of graphs and non-liquidity The portfolios were measured using the non-liquidity rate. Therefore, it is possible to directly select the options of the investor in the two-dimensional expected utility / liquidity space. This research was analyzed by using high frequency data on a set of 40 shares of Tehran Stock Exchange from 2011 to 2017 using MATLAB software and time retrieval methods were used for daily synchronization of transactions. Considering the expected returns of the portfolio and the expected liquidity over the minimum variance and the same weighted portfolio, the power coverage of this model is examined. The results show that in the different risk-incompatible levels, the expected liquidity of the expected portfolio is highly competitive and seems appropriate in terms of usefulness, liquidity, and expected utility, relative to the benchmark.

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APA: Copy

firouz dehghan, mohammad, Saeidi, Hadi, Mohammadi, Shaban, & elahi, ghasem. (2019). Portfolio choice with high frequency data: constant relative risk aversion preferences and the liquidity effect. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 10(38 ), 180-214. SID. https://sid.ir/paper/197758/en

Vancouver: Copy

firouz dehghan mohammad, Saeidi Hadi, Mohammadi Shaban, elahi ghasem. Portfolio choice with high frequency data: constant relative risk aversion preferences and the liquidity effect. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2019;10(38 ):180-214. Available from: https://sid.ir/paper/197758/en

IEEE: Copy

mohammad firouz dehghan, Hadi Saeidi, Shaban Mohammadi, and ghasem elahi, “Portfolio choice with high frequency data: constant relative risk aversion preferences and the liquidity effect,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 10, no. 38 , pp. 180–214, 2019, [Online]. Available: https://sid.ir/paper/197758/en

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