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 | 79.59184 | 0.009933 | 30.61224 | 0.003971 | 20.40816 | 0.002480 |
2017 | 342.8571 | 0.075051 | 138.7755 | 0.030015 | 81.63265 | 0.018721 |
2018 | 124.8980 | 0.018188 | 47.75510 | 0.007267 | 29.38776 | 0.004536 |
2019 | 302.0408 | 0.100154 | 122.4490 | 0.040067 | 73.46939 | 0.025005 |
2020 | 42.44898 | 0.012502 | 16.32653 | 0.004991 | 11.42857 | 0.003110 |