RT Journal Article
SR Electronic
T1 Practical Applications of Higher-Frequency Analysis of Low-Frequency Data
JF Practical Applications
FD Institutional Investor Journals
SP 1
OP 4
DO 10.3905/pa.2015.3.2.126
VO 3
IS 2
A1 Mallinger-Dogan, Mickaël
A1 Szigety, Mark C.
YR 2015
UL http://pa.pm-research.com/content/3/2/1.7.abstract
AB Higher-Frequency Analysis of Low-Frequency Data Mickaël Mallinger-Dogan Mark C Szigety The authors of Higher-Frequency Analysis of Low-Frequency Data , published in the The Journal of Portfolio Management , apply two methodologies used in economics to institutional portfolios. The goal: To combine data from illiquid and liquid investments to form a holistic view of a portfolioIn this report, Mark Szigety and Mickaël Mallinger-Dogan of Harvard Management Company outline two options for institutional investors to incorporate low-frequency data of illiquid investments and higher-frequency data of liquid investments into a common framework.Feedback on the research so far is that many readers had no idea these methodologies existed, the authors tell us. Some have mentioned that these approaches might be helpful in a variety of hedge fund contexts, they add.TOPICS: Portfolio construction, private equity, real estate