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%