Table 3 Average simulated returns for Service Sector
From: Portfolio optimization of credit risky bonds: a semi-Markov process approach
Bond (Rating) | t=1 | t=2 | t=3 | t=4 | t=5 | t=6 | t=7 | t=8 | t=9 |
|---|---|---|---|---|---|---|---|---|---|
1 (AAA) | 0.063 | 0.066 | 0.060 | 0.065 | 0.061 | 0.065 | 0.069 | 0.046 | 0.040 |
2(AA) | 0.060 | 0.063 | 0.067 | 0.061 | 0.062 | 0.078 | 0.054 | 0.050 | 0.003 |
3(A) | 0.053 | 0.063 | 0.066 | 0.059 | 0.061 | 0.066 | 0.076 | 0.060 | 0.068 |
4(BBB) | 0.013 | 0.050 | 0.056 | 0.073 | 0.126 | 0.069 | 0.083 | 0.075 | 0.083 |
5(BB) | 0.105 | 0.053 | 0.214 | 0.087 | 0.138 | 0.111 | 0.114 | 0.097 | 0.100 |