4 citations · 4 across the 2 of their papers we have counts for
2 papers
q-fin.ST2016★ 4 cited
Sparse Kalman Filtering Approaches to Covariance Estimation from High Frequency Data in the Presence of Jumps
Michael Ho, Jack Xin
Estimation of the covariance matrix of asset returns from high frequency data is complicated by asynchronous returns, market mi- crostructure noise and jumps. One technique for add…
q-fin.PM2015
Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation
Michael Ho, Zheng Sun, Jack Xin
It is well known that the out-of-sample performance of Markowitz's mean-variance portfolio criterion can be negatively affected by estimation errors in the mean and covariance. In…