g = 1.4 %

NO HEDGE

E [ V P 0 ]

C V a R V P ( α )

Allocation A

104,360

−817,600

Allocation B

−173,380

−1,653,300

STATIC HEDGING

Allocation A

273,960

200,830

Allocation B

267,320

146,940

g = 1.5 %

NO HEDGE

Allocation A

86,100

−856,600

Allocation B

−192,580

−1,689,800

STATIC HEDGING

Allocation A

271,590

198,990

Allocation B

256,390

137,020

g = 2 %

NO HEDGE

Allocation A

−31,720

−1,176,000

Allocation B

−323,490

−1,943,800

STATIC HEDGING

Allocation A

250,270

178,510

Allocation B

212,270

93,460