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Table 9 The optimal scale of portfolio with risk-sensitive value measure

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