On White’s (2000) Reality Check

I was asked the following question the other day on White’s reality check. QUESTION: I was reading White’s (2000) paper (http://www.ssc.wisc.edu/~bhansen/718/White2000.pdf). It seems to suggest that to examine the pnl characteristic of a strategy, we should do bootstrapping on the P&L. I am wondering why this makes sense. Why scramble the P&L time series? Why …

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