138 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
2 22.00 12.00 8.67 7.00 6.00 5.33 4.86 4.50 4.22
− 1 20.90 10.80 7.37 5.60 4.50 3.73 3.16 2.70 2.32
2 22.99 12.96 9.58 7.84 6.75 5.97 5.37 4.86 4.41
− 21 24.0221.84 14.0011.66 10.598.14 6.278.78 5.067.59 4.186.69 3.495.93 2.925.25 4.612.43
− 1 22.82 12.60 8.99 7.02 5.70 4.68 3.85 3.15 2.54
2 25.11 15.12 11.69 9.83 8.54 7.49 6.55 5.67 4.82
− 21 26.2423 85 16.3313.60 12.929.94 11.017.87 6.419.61 5.258.39 4.267.24 3.406.12 5.042.65
− 1 24.92 14.69 10.98 8.81 7.21 5.87 4.71 3.67 2.77
2 27.42 17.63 14.28 12.34 10.81 9.40 8.00 6.61 5.26
− 1 26.05 15.87 12.14 9.87 8.11 6.58 5.20 3.97 2.89
− 12 27.2228.65 17.1419.04 13.4115.78 13.82l.05 12.169.12 10.537.37 8.845.75 7.144.28 5.503.02
2 29.94 20.57 17.43 15.47 13.68 11.79 9.77 7.71 5.75
− 1 28.44 18.51 14.82 12.38 10.26 8.25 6.35 4.63 3.16
− 12 29.7231.29 19.9922.21 16.3719.26 13.8717.33 15.3911.55 13.219.24 10.807.02 8.335.00 6.003.30
2 32.69 23.99 21.29 19.41 17.32 14.79 11.93 9.00 6.27
− 1 31.06 21.59 18.09 15.53 12.99 10.35 7.75 5.40 3.45
2 34.17 25.91 23.52 21.74 19.48 16.56 13.18 9.72 6.56
− 21 35.7032.46 27.9823.32 25.9919.99 17.3924.35 14.6121.92 11.6018.55 14.578.57 10.495.83 6.853.61
− 1 33.92 25.18 22.09 19.48 16.44 12.99 9.47 6.30 3.77
2 37.31 30.22 28.72 27.27 24.66 20.78 16.10 11.33 7.16
− 21 38.9935.44 32.6427.20 31.7424.41 21.8230.54 18.4927.74 14.5423.27 10.4617.79 12.246.80 7.483.94
− 1 37.04 29.37 26.98 24.44 20.81 16.29 11.56 7.34 4.12
2 40.74 35.25 35.07 34.21 31.21 26.06 19.65 13.22 7.82
− 1 38.71 31.72 29.81 27.37 23.41 18.25 12.78 7.93 4.30
− 12 40.4542.58 34.2638.07 32.9438.75 30.6538.31 35.1126.33 29.1920.43 21.7214.12 14.270.56 8.174.49
2 44.49 41.11 42.82 42.91 39.50 32.70 24.00 15.42 8.54
− 1 42.27 37.00 36.40 34.33 29.62 22.89 15.60 9.25 4.70
− 12 44.1746.49 39.9644.40 40.2247.32 38.4540.06 44.4433.33 36.6225.63 26.5217.24 16.659.99 4.918.92
2 46.59 47.95 52.28 53.83 49.99 41.01 29.30 17.98 9.32
− 1 46.16 43.16 44.44 43.06 37.49 21.71 19.05 10.79 5.13
2 50.77 51.79 57.77 60.29 56.24 45.93 32.38 19.42 9.74
− 1 48.23 46.61 49.11 48.23 42.18 32.15 21.05 11.65 5.36
TUR−−−−→ 2.41 4.66 7.37 9.65 10.55 9.65 7.37 4.66 2.41
FIGURE 4.5 Values offfor 20 sequences at+2,− 1