From: Stressed portfolio optimization with semiparametric method
Year | α = 0.2 | α = 0.5 | α = 0.8 | |||
---|---|---|---|---|---|---|
Optimal scale | Value measure | Optimal scale | Value measure | Optimal scale | Value measure | |
2016 | 78.81104 | 0.009928 | 31.52442 | 0.003971 | 19.70276 | 0.002482 |
2017 | 344.2936 | 0.075148 | 137.7174 | 0.030059 | 86.0734 | 0.018787 |
2018 | 121.2824 | 0.017928 | 48.51295 | 0.007171 | 30.3206 | 0.004482 |
2019 | 314.6244 | 0.102044 | 125.8498 | 0.040817 | 78.65610 | 0.025511 |
2020 | 44.64709 | 0.012850 | 17.85884 | 0.005140 | 11.16177 | 0.003212 |