Portfolio | Certainty equivalent | Statistic | p-value |
Mrkt | 0.00018 | - | - |
m-long.E | 0.00033 | 0.388 | 0.698 |
m-long.V | 0.00038 | 0.495 | 0.621 |
m-lvrg.E | 0.00128** | 2.040 | 0.041 |
m-lvrg.V | 0.00127** | 2.034 | 0.042 |
naive.E | 0.00049 | 0.876 | 0.381 |
naive.V | 0.00044 | 0.745 | 0.456 |
m-10.10.E | 0.00099* | 1.756 | 0.079 |
m-10.10.V | 0.00086 | 1.511 | 0.131 |
m-10.30.E | 0.00140** | 2.178 | 0.029 |
m-10.30.V | 0.00132** | 2.082 | 0.037 |
m-20.20.E | 0.00144** | 2.064 | 0.039 |
m-20.20.V | 0.00137** | 1.995 | 0.046 |
m-20.30.E | 0.00152** | 2.029 | 0.042 |
m-20.30.V | 0.00138* | 1.861 | 0.063 |