Table 32 Long-term profits of the HFRA, TR, and PR strategies
From: Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm
PR | ||||||
|---|---|---|---|---|---|---|
HFRA | TR | Daily | Weekly | Monthly | Quarterly | Annually |
1435.01% | 935.04% | 905.74% | 815.56% | 938.09% | 934.11% | 737.44% |