Ilomäki, Jukka; Laurila, Hannu; McAleer, Michael - 2018
them and switch to the risk-free rate. In comparison, how might the performance be affected if the frequency is changed to … average daily returns, even though the volatility is virtually unchanged when the frequency is lower. The volatility from the … highest to the lowest frequency is about 30% lower as compared with the buy-and-hold strategy volatility, but the average …