Table 4 Average simulated returns for Industry 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) | 0.065 | 0.064 | 0.064 | 0.066 | 0.074 | 0.066 | 0.073 | 0.064 | 0.066 |
2(AA) | 0.062 | 0.063 | 0.068 | 0.063 | 0.062 | 0.074 | 0.058 | 0.050 | 0.065 |
3(A) | 0.055 | 0.061 | 0.067 | 0.059 | 0.081 | 0.008 | 0.071 | 0.067 | 0.065 |
4(BBB) | 0.027 | 0.058 | 0.072 | 0.080 | 0.070 | 0.079 | 0.084 | 0.077 | 0.075 |
5(BB) | 0.083 | 0.056 | 0.117 | 0.109 | 0.115 | 0.117 | 0.110 | 0.094 | 0.094 |