Table 2 Bertsimas and Sim approach
p | D -exp. return | D -min. return | D -max. return | D -dev |
|---|---|---|---|---|
0 | 1.2000 | 0.9115 | 1.4885 | 0.2885 |
5 | 1.1844 | 1.0896 | 1.2793 | 0.0254 |
10 | 1.1776 | 1.1075 | 1.2478 | 0.0192 |
15 | 1.1716 | 1.1147 | 1.2285 | 0.0151 |
20 | 1.1678 | 1.1165 | 1.2190 | 0.0126 |
25 | 1.1678 | 1.1114 | 1.2241 | 0.0126 |
30 | 1.1678 | 1.1063 | 1.2293 | 0.0126 |
35 | 1.1678 | 1.1012 | 1.2344 | 0.0126 |
40 | 1.1678 | 1.0960 | 1.2395 | 0.0126 |
45 | 1.1503 | 1.1267 | 1.1740 | 0.0236 |