Table 33 p-Values of the permutation test for the long-term application of the HFRA, TR, and PR strategies
From: Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm
Strategies | One-sided p-Values | ||
|---|---|---|---|
Daily | Weekly | Monthly | |
HFRA–TR | 0 | 0 | 0 |
HFRA–PR | 0 | 0 | 0 |
TR–PR | 0.0848 | 0.0026 | 0.3776 |