uit | k = 0.5 | k = 1 | k = 1.5 | |||||||
t = 1 | t = 2 | t = 3 | t = 1 | t = 2 | t = 3 | t = 1 | t = 2 | t = 3 | ||
均值 | 0.3 | 0.0114 | 0.0135 | 0.0123 | 0.0038 | 0.0049 | 0.0045 | −0.0011 | −0.0034 | −0.0004 |
0.5 | 0.0112 | 0.0133 | 0.0122 | 0.0043 | 0.0059 | 0.0045 | −0.0005 | 0.0008 | −0.0004 | |
0.8 | 0.0111 | 0.0132 | 0.0122 | 0.0047 | 0.0064 | 0.0045 | 0.0001 | 0.0019 | −0.0004 | |
1 | 0.0111 | 0.0131 | 0.0121 | 0.0049 | 0.0065 | 0.0045 | 0.0005 | 0.0024 | −0.0004 | |
LAD | 0.3 | 0.0129 | 0.0128 | 0.0127 | 0.0125 | 0.0123 | 0.0126 | 0.0083 | 0.0081 | 0.0085 |
0.5 | 0.0127 | 0.0127 | 0.0126 | 0.0126 | 0.0125 | 0.0126 | 0.0081 | 0.0083 | 0.0085 | |
0.8 | 0.0127 | 0.0127 | 0.0126 | 0.0128 | 0.0125 | 0.0127 | 0.0083 | 0.0080 | 0.0084 | |
1 | 0.0127 | 0.0126 | 0.0125 | 0.0129 | 0.0126 | 0.0125 | 0.0127 | 0.0117 | 0.0084 | |
CVaR | 0.3 | 0.0548 | 0.0560 | 0.0554 | 0.0552 | 0.0561 | 0.0555 | 0.0506 | 0.0507 | 0.0475 |
0.5 | 0.0543 | 0.0559 | 0.0551 | 0.0564 | 0.0573 | 0.0555 | 0.0517 | 0.0520 | 0.0507 | |
0.8 | 0.0543 | 0.0557 | 0.0550 | 0.0585 | 0.0589 | 0.0555 | 0.0544 | 0.0543 | 0.0511 | |
1 | 0.0543 | 0.0556 | 0.0549 | 0.0585 | 0.0591 | 0.0556 | 0.0562 | 0.0558 | 0.0514 | |
财富值 | 0.3 | 10111.2 | 10240.2 | 10362.4 | 10035.3 | 10080.2 | 10121.9 | 9985.5 | 9947.6 | 9939.7 |
0.5 | 10109.0 | 10239.0 | 10359.1 | 10040.2 | 10093.9 | 10136.8 | 9991.6 | 9994.4 | 9987.3 | |
0.8 | 10108.9 | 10236.6 | 10356.4 | 10044.5 | 10103.2 | 10143.9 | 9998.1 | 10012.0 | 10006.2 | |
1 | 10108.0 | 10235.3 | 10354.2 | 10046.7 | 10106.2 | 10148.6 | 10002.2 | 10020.7 | 10015.5 |