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