136 THE HANDBOOK OF PORTFOLIO MATHEMATICS
20 TRIALS
f VALVES−−−−→
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
1.5 21.50 11.50 8.17 6.50 5.50 4.83 4.36 4.00 3.72
− 1 20.43 10.35 6.94 5.20 4.13 3.38 2.83 2.40 2.05
1.5 21.96 11.90 8.50 6.76 5.67 4.91 4.32 3.84 3.43
−1.5 (^1) 22.4220.86 12.3210.71 8.857.23 5.417.03 4.255.85 3.434.98 2.814.28 2.303.69 3.161.89
− 1 21.30 11.09 7.53 5.62 4.39 3.49 2.78 2.21 1.74
1.5 22.90 12.75 9.22 7.31 6.03 5.05 4.24 3.54 2.91
−1.5 (^1) 23.3921.75 13.2011.48 9.607.84 5.857.60 4.526.22 3.545.13 2.764.21 2.123.40 1.602.68
− 1 22.22 11.88 8.16 6.08 4.67 3.59 2.73 2.04 1.47
1.5 23.88 13.66 10.00 7.91 6.41 5.21 4.17 3.26 2.47
− 1 22.69 12.29 8.50 6.33 4.81 3.64 2.71 1.96 1.36
−1.5 1 23.1724.39 14.1412.72 10.418.85 8.226.58 6.624.96 5.283.70 2.694.13 3.131.88 2.281.25
1.5 24.91 14.63 10.84 8.55 6.82 5.36 4.10 3.01 2.10
− 1 23.66 13.17 9.21 6.84 5.12 3.75 2.66 1.80 1.15
−1.5 1 24.1725.44 15.1413.63 11.289.59 8.907.12 7.045.28 5.443.81 2.644.06 2.891.73 1.931.06
1.5 25.98 15.67 11.75 9.25 7.26 5.53 4.03 2.77 1.78
− 1 24.68 14.11 9.99 7.40 5.44 3.87 2.62 1.66 0.98
1.5 26.53 16.22 12.23 9.62 7.48 5.61 3.99 2.66 1.64
−1.5 (^1) 27.1025.20 14. 6016.79 12.7410.40 10.017.70 5.617.72 3.935.69 2.593.96 1.602.55 1.510.90
− 1 25.74 15.11 10.83 8.01 5.79 3.99 2.57 1.53 0.83
1.5 27.67 17.38 13.26 10.41 7.96 5.78 3.92 2.45 1.39
−1.5 (^1) 28.2626.29 17.9915.64 13.8111.28 10.828.33 5.978.21 4.055.87 2.553.89 1.472.35 0.771.28
− 1 26.85 16.19 11.74 8.66 6.15 4.11 2.53 1.41 0.70
1.5 28.86 18.61 14.38 11.26 8.46 5.95 3.85 2.26 1.18
− 1 27.42 16.75 12.22 9.00 6.35 4.17 2.50 1.36 0.65
−1.5 1 28.0029.47 19.2717.34 12.7314.98 11.719.36 8.736.54 6.044.23 2.483.82 2.171.30 1.090.60
1.5 30.10 19.94 15.59 12.17 9.00 6.13 3.79 2.08 1.00
− 1 28.59 17.95 13.25 9.74 6.75 4.29 2.46 1.25 0.55
−1.5 1 29.2030.74 20.6418.57 13.8016.24 12.6610.13 9.286.96 6.234.36 2.443.75 2.001.20 0.510.92
1.5 31.39 21.36 16.91 13.17 9.57 6.32 3.72 1.92 0.85
− 1 29.82 19.23 14.37 10.53 7.18 4.42 2.42 1.15 0.47
1.5 32.06 22.11 17.60 13.69 9.87 6.41 3.69 1.84 0.78
− 1 30.46 19.90 14.96 10.96 7.40 4.49 2.40 1.11 0.43
TWR−−−−→ 1.52 1.99 2.24 2.19 1.85 1.35 0.84 0.44 0.19
FIGURE 4.4 Values offfor 20 sequences at+1.5,− 1