$\rho$

$0<\rho <1$

$E\left[R_T\right]$

$\alpha =1$

$E\left[R_T\right]$

$\alpha =1.5$

$E\left[R_T\right]$

$\alpha =1.9$

0.1

0.1111

0.1176

0.1235

0.2

0.2500

0.2857

0.3223

0.3

0.4285

0.5432

0.6786

0.4

0.6656

0.9594

1.3051

0.5

0.9902

1.6022

2.1467

0.6

1.4392

2.4311

2.9216

0.7

2.0426

3.2673

3.4645

0.8

2.7971

3.9508

3.8059

0.9

3.6466

4.4442

4.0203