$\rho$

$0<\rho <1$

$E\left[R_T\right]$

$\alpha =1$

$E\left[R_T\right]$

$\alpha =1.5$

$E\left[R_T\right]$

$\alpha =1.9$

0.1

0.1111

0.1176

0.1235

0.2

0.2500

0.2857

0.3226

0.3

0.4286

0.5455

0.6977

0.4

0.6667

0.1000

1.6667

0.5

1.0000

2.0000

9.6865

0.6

1.5000

5.9982

48.3460

0.7

2.3333

53.1775

50.5104

0.8

4.0000

62.6667

51.0931

0.9

8.9973

64.0952

51.3640