Investor with Risk Aversion Such as ERA = 75% | |||||
MVaR | Protective | Stable | Markowitz | ||
Panel A―Optimization with Markowitz | |||||
ERAt | 89.0% | 74.2% | 76.1% | 75.0% | |
ERAt+4 | 89.1% | 74.4% | 76.3% | 75.2% | |
Bias | 0.1% | 0.2% | 0.2% | 0.3% | |
RMSE | 1.8% | 3.4% | 2.3% | 2.2% | |
Panel B―Optimization of Bell Utility Function with C = 5 | |||||
ERAt | 87.8% | 71.6% | 75.0% | 74.2% | |
ERAt+4 | 88.1% | 72.2% | 75.4% | 74.6% | |
Bias | 0.3% | 0.9% | 0.6% | 0.6% | |
RMSE | 2.2% | 5.2% | 2.7% | 2.4% | |
Panel C―Optimization of Bell Utility Function with C = 34 | |||||
ERAt | 89.4% | 75.0% | 77.9% | 77.1% | |
ERAt+4 | 89.7% | 75.6% | 78.4% | 77.5% | |
Bias | 0.3% | 0.8% | 0.6% | 0.5% | |
RMSE | 1.8% | 4.6% | 2.5% | 2.2% | |
Panel D―Optimization with MVaR | |||||
ERAt | 75.0% | 48.4% | 53.7% | 53.3% | |
ERAt+4 | 75.3% | 48.8% | 53.9% | 53.5% | |
Bias | 0.3% | 0.8% | 0.5% | 0.5% | |
RMSE | 2.7% | 5.2% | 3.0% | 2.9% | |