| Investor with Risk Aversion Such as ERA = 50% | |||||
| MVaR | Protective | Stable | Markowitz | ||
| Panel A―Optimization with Markowitz | |||||
| ERAt | 73.2% | 45.8% | 50.5% | 50.0% | |
| ERAt+4 | 73.4% | 46.1% | 50.7% | 50.2% | |
| Bias | 0.2% | 0.6% | 0.4% | 0.4% | |
| RMSE | 3.3% | 5.7% | 3.5% | 3.3% | |
| Panel B―Optimization of Bell Utility Function with C = 5 | |||||
| ERAt | 72.3% | 44.6% | 50.0% | 49.7% | |
| ERAt+4 | 72.7% | 45.1% | 50.4% | 50.0% | |