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%