投资组合

样本1

样本2

样本3

$W_{\alpha }{W}_{\max }{W}_{\min }$

$W_{\alpha }{W}_{\max }{W}_{\min }$

$W_{\alpha }{W}_{\max }{W}_{\min }$

市场组合策略

1.0316

1.1981

0.8842

0.7804

1.1072

0.7575

0.8288

1.1981

0.8216

最小方差策略

0.9426

1.0630

0.8372

0.8307

1.1326

0.8009

0.8339

1.0933

0.8134

1/N策略

1.0241

1.1848

0.8841

0.8243

1.1173

0.8223

0.8483

1.1848

0.8483

CI-E $\left(\xi =0\right)$

1.0386

1.1992

0.8865

0.7618

1.0878

0.6715

0.8330

1.2568

0.8330

CI-E $\left(\xi =1e-7\right)$

1.0420

1.2231

0.9419

0.8652

1.1786

0.8331

0.8904

1.2954

0.8329

CI-E $\left(\xi =1e-5\right)$

1.0406

1.2150

0.9362

0.8362

1.1615

0.8301

0.8992

1.2769

0.8598