Statistic

SSD-Unscaled

SSD-Scaled

ICCP

Maximin

Expected value

1.160

1.154

1.141

1.135

Minimum

0.8168

0.876

0.7926

0.8932

Expected shortfall w.r.t 1.10

0.0455

0.0526

0.0430

0.0517

1%-Scaled tail

0.8200

0.8794

0.7957

0.8967

5%-Scaled tail

0.8526

0.8969

0.8283

0.9124

10%-Scaled tail

0.8725

0.9165

0.8556

0.9290

15%-Scaled tail

0.8946

0.9284

0.8915

0.9392

20%-Scaled tail

0.9207

0.9383

0.9227

0.9471

25%-Scaled tail

0.9420

0.9477

0.9464

0.9551