Abstract: An accurate estimation of correlation of assets in the investment portfolio is the key of building portfolio, pricing derivatives and risk management.Volatility timing is introduced and the practical applicanon of the two correlation estimation methods is comparedfrom the perspective of dynamical portfolio allocation efficiency.The original data is simulated by the Block Bootstrap method in order to get more creditable result.The result indicated that, if we adjust the portfolio according to the RV model based on the high-frequency data, we will get more return, than static portfolio.However, if we adjust the portfolio according to the DCC-GARCH model we will loss.The RV model has more practical application than the DCC-GARCH model.

Key words: portfolio correlation, volatility timing, realized covariance, DCC-GARCH model