2D VAR (1) Rebalancing | g | Allocation A | Allocation B |
1.4% | 23,950 | 42,000 | |
1.5% | 27,430 | 54,970 | |
2% | 52,140 | 110,520 | |
2D VAR (1) No Rebalancing | g | Allocation A | Allocation B |
1.4% | 18,330 | 36,800 | |
1.5% | 21,200 | 45,480 | |
2% | 41,820 | 90,780 | |
4D VAR (1) Rebalancing | g | Allocation A | Allocation B |
1.4% | 22,990 | 41,180 | |
1.5% | 26,390 | 52,900 | |
2% | 50,560 | 107,240 | |
4D VAR (1)No Rebalancing | g | Allocation A | Allocation B |
1.4% | 17,500 | 34,120 | |
1.5% | 19,880 | 43,480 | |
2% | 39,010 | 87,030 |