Table 14 Profit of the HFRA with a portfolio of 3 crypto-assets
From: Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm
GRT–FTM (%) | GRT–FIL (%) | FTM–FIL (%) | GRT–CHZ (%) | FTM–CHZ (%) | FIL–CHZ (%) | |
|---|---|---|---|---|---|---|
AXS | − 23.54 | − 24.29 | − 26.39 | − 21.32 | − 23.71 | − 24.02 |
CHZ | − 23.06 | − 23.12 | − 25.54 | |||
FIL | − 25.72 |