Table 5 Comparison of the results for two models
From: Portfolio optimization of credit risky bonds: a semi-Markov process approach
SMP Model | Markov Chain Model | |
|---|---|---|
Average Return | 0.07993 | 0.06779 |
Average Risk | 0.02064 | 0.02297 |
Average Sharpe Ratio | 7.92169 | 5.79243 |