| g=1.4% | NO HEDGE | E[VP0] | CVaRVP(α) |
| Strategy A | 69,000 | −780,400 | |
| StrategyB | −188,760 | −1,394,800 | |
| STATIC HEDGING |
|
| |
| Strategy A | 263,810 | 206,290 | |
| Strategy B | 271,860 | 170,990 | |
| g=1.5% | NO HEDGE |
|
|
| Strategy A | −11,720 | −822,500 | |
| Strategy B | −243,890 | −1,460,400 | |
| STATIC HEDGING |
|
| |
| Strategy A | 262,860 | 204,600 | |
| Strategy B | 260,000 | 160,030 | |
| g=2% | NO HEDGE |
|
|
| Strategy A | −163,680 | −1,093,200 | |
| Strategy B | −384,370 | −1,693,400 | |
| STATIC HEDGING |
|
| |
| Strategy A | 243,740 | 184,000 | |
| Strategy B | 217,660 | 116,900 |