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 |