Exploiting mixed-frequency characteristics in parametric Mean-Expected Shortfall portfolio selection

Name: Exploiting mixed-frequency characteristics in parametric Mean-Expected Shortfall portfolio selection
Creator: shuting liu
Published: 2025-03-06T14:56:00.072Z
Keywords: Portfolio Optimization, Portfolio Analysis

liu, shuting; Zhang, Sicheng; Chen, Yun

doi:10.17632/pc64ybhtpc.1

Exploiting mixed-frequency characteristics in parametric Mean-Expected Shortfall portfolio selection

Published: 6 March 2025| Version 1 | DOI: 10.17632/pc64ybhtpc.1

Contributors:

shuting liu, Sicheng Zhang, Yun Chen

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The files provide relevant data and codes for replicating the empirical results in the paper and its appendices.

Exploiting mixed-frequency characteristics in parametric Mean-Expected Shortfall portfolio selection

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