134 THE HANDBOOK OF PORTFOLIO MATHEMATICS
20 TRIALS
f VALUES−−−−→
EVENT 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45
START VALUES−−−−→ 20.00 10.00 6.67 5.00 4.00 3.33 2.86 2.50 2.22
1.2 21.20 11.20 7.87 6.20 5.20 4.53 4.06 3.70 3.42
− 1 20.14 10.08 6.69 4.96 3.90 3.17 2.64 2.22 1.88
1.2 21.35 11.29 7.89 6.15 5.07 4.32 3.74 3.29 2.90
−1.2 (^1) 21.5020.28 11.3810.16 7.916.71 4.926.10 3.804.94 3.024.11 2.433.46 1.972.92 1.592.46
− 1 20.42 10.24 6.73 4.88 3.71 2.88 2.25 1.75 1.35
1.2 21.65 11.47 7.94 6.05 4.82 3.91 3.19 2.59 2.08
−1.2 (^1) 21.8020.57 11.5610.32 7.966.75 4.846.00 3.614.70 2.743.72 2.072.94 1.552.30 1.761.14
− 1 20.71 10.41 6.77 4.80 3.52 2.61 1.91 1.38 0.97
1.2 21.95 11.66 7.99 5.96 4.58 3.54 2.72 2.04 1.49
− 1 20.85 10.49 6.79 4.76 3.44 2.48 1.77 1.23 0.82
−1.2 1 21.0022.11 11.7510.57 6.818.01 5.914.73 4.473.35 3.372.36 1.632.51 1.811.09 0.691.26
1.2 22.26 11.84 8.03 5.86 4.36 3.21 2.32 1.61 1.07
− 1 21.15 10.66 6.83 4.69 3.27 2.25 1.51 0.97 0.59
−1.2 1 21.3022.42 11.9410.74 6.858.06 5.814.65 4.253.18 3.062.14 1.392.14 1.430.86 0.910.50
1.2 22.57 12.03 8.08 5.77 4.14 2.91 1.97 1.27 0.77
− 1 21.44 10.83 6.87 4.61 3.11 2.04 1.28 0.76 0.42
1.2 22.73 12.13 8.11 5.72 4.04 2.77 1.82 1.13 0.65
−1.2 (^1) 22.8921.60 12.2310.92 8.136.89 4.585.68 3.033.94 1.942.64 1.181.68 0.681.00 0.550.36
− 1 21.75 11.00 6.91 4.54 2.95 1.85 1.09 0.60 0.30
1.2 23.05 12.32 8.15 5.63 3.84 2.51 1.55 0.89 0.47
−1.2 (^1) 23.2121.90 12.4211.09 8.186.93 4.505.59 2.883.74 1.762.39 1.011.43 0.530.79 0.400.26
− 1 22.05 11.18 6.95 4.47 2.81 1.67 0.93 0.47 0.22
1.2 23.37 12.52 8.20 5.54 3.65 2.28 1.32 0.70 0.33
− 1 22.21 11.27 6.97 4.43 2.74 1.59 0.86 0.42 0.18
−1.2 1 22.3623.54 12.6211.36 6.998.23 5.504.40 3.562.67 2.171.52 0.791.22 0.620.37 0.160.28
1.2 23.70 12.72 8.25 5.43 3.47 2.06 1.13 0.55 0.24
− 1 22.52 11.45 7.01 4.36 2.60 1.44 0.73 0.33 0.13
−1.2 1 22.6823.87 12.8211.54 7.048.28 5.414.33 3.382.54 1.961.38 0.681.04 0.490.29 0.110.20
1.2 24.04 12.93 8.30 5.37 3.30 1.87 0.96 0.44 0.17
− 1 22.83 11.63 7.06 4.29 2.47 1.31 0.62 0.26 0.09
1.2 24.20 13.03 8.33 5.32 3.21 1.78 0.89 0.39 0.15
− 1 22.99 11.73 7.08 4.26 2.41 1.25 0.58 0.23 0.08
TWR−−−−−−−−−→ 1.15 1.17 1.06 0.85 0.60 0.37 0.20 0.09 0.04
FIGURE 4.3 Values offfor 20 sequences at+1.2,− 1