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This article explores the realized volatility matrix and its model in the classic asset allocation problems. Update time method using UHF data synchronization China's stock market, using three different correction and noise reduction technology get three volatility matrix sequence; sequence through the matrix modeling portray get yields and volatility matrix vector prediction value and apply to asset allocation problem.doi:10.5539/par.v4n2p1 fatcat:lhvagsedy5ftnmf2wuwg4lo2ya