From: Foreign exchange trading and management with the stochastic dual dynamic programming method
Case | Policy | Mean | Median | \(VaR_{99\% }\) | \(CVaR_{99\% }\) |
---|---|---|---|---|---|
\(\hat{\sigma } = 0\) pips | RN1 | 795.2 (â 0.6) | 796.9 | 805.0 | 805.8 (0.7) |
RA0.7 | 796.8 (â 0.4) | 798.1 | 804.0 | 805.2 (0.7) | |
B1 | 794.0 (â 0.8) | 795.9 | 800.0 | 800.0 (0.0) | |
B2 | 798.9 (â 0.1) | 799.1 | 808.7 | 808.8 (1.1) | |
NH | 796.5 (â 0.4) | 797.1 | 816.8 | 816.9 (2.1) | |
Base case \(\hat{\sigma } = 12\) pips | RN1 | 795.3 (â 0.6) | 797.1 | 805.0 | 806.1 (0.8) |
RA0.7 | 797.9 (â 0.3) | 798.9 | 803.2 | 804.7 (0.6) | |
B1 | 793.9 (â 0.8) | 796.0 | 800.0 | 800.0 (0.0) | |
B2 | 798.9 (â 0.1) | 799.2 | 809.0 | 810.5 (1.3) | |
NH | 796.5 (â 0.4) | 797.3 | 818.8 | 821.3 (2.7) | |
\(\hat{\sigma } = 25\) pips | RN1 | 795.3 (â 0.6) | 797.6 | 806.0 | 807.7 (1.0) |
RA0.7 | 799.7 (0.0) | 799.9 | 800.7 | 801.2 (0.1) | |
B1 | 793.2 (â 0.9) | 795.9 | 800.0 | 800.0 (0.0) | |
B2 | 798.9 (â 0.1) | 799.4 | 811.0 | 813.4 (1.7) | |
NH | 796.5 (â 0.4) | 797.9 | 824.0 | 828.3 (3.5) | |
\(\hat{\sigma } = 50\) pips | RN1 | 795.5 (â 0.6) | 798.4 | 818.9 | 824.0 (3.0) |
RA0.7 | 799.9 (â 0.0) | 799.8 | 802.6 | 804.7 (0.6) | |
B1 | 790.9 (â 1.1) | 795.4 | 800.0 | 800.0 (0.0) | |
B2 | 798.9 (â 0.1) | 799.5 | 815.9 | 819.9 (2.5) | |
NH | 796.6 (â 0.4) | 798.5 | 835.5 | 842.8 (5.3) |