142 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 19.00 9.00 5.67 4.00 3.00 2.33 1.86 1.50 1.22
-1 18.05 8.10 4.82 3.20 2.25 1.63 1.21 0.90 1.67
-1 17.15 7.29 4.09 2.56 1.69 1.14 0.78 0.54 0.37
-1-1 15.4816.29 5.906.56 2.963.48 2.051.64 0.951.27 0.560.80 0.510.33 0.320.19 0.110.20
-1 14.70 5.31 2.51 1.31 0.71 0.39 0.22 0.12 0.06
-1 13.97 4.78 2.14 1.05 0.53 0.27 0.14 0.07 0.03
-1-1 12.6013.27 3.874.30 1.541.82 0.840.67 0.300.40 0.130.19 0.090.06 0.040.03 0.010.02
-1 11.97 3.49 1.31 0.54 0.23 0.09 0.04 0.02 0.01
-1 12.57 3.84 1.51 0.64 0.28 0.12 0.05 0.02 0.01
-1 13.20 4.22 1.74 0.77 0.35 0.16 0.07 0.03 0.01
11 14.5613.86 5.114.64 2.302.00 0.931.11 0.550.44 0.270.21 0.090.13 0.040.06 0.020.02
1 15.28 5.62 2.64 1.34 0.69 0.35 0.17 0.08 0.04
1 16.05 6.18 3.04 1.60 0.86 0.45 0.23 0.11 0.05
11 17.6916.05 7.476.79 4.013.49 1.922.31 1.341.07 0.770.59 0.310.42 0.160.22 0.050.11
1 18.58 8.22 4.62 2.77 1.68 1.00 0.57 0.31 0.16
1 19.51 9.04 5.31 3.32 2.10 1.30 0.77 0.44 0.23
1 20.48 9.95 6.11 3.99 2.62 1.69 1.04 0.61 0.34
11 22.5821.50 12.0410.94 8.087.02 4.795.74 4.103.28 2.852.19 1.411.90 0.861.20 0.490.71
1 23.71 13.24 9.29 6.89 5.12 3.71 2.57 1.68 1.02
1 24.89 14.57 10.68 8.27 6.40 4.82 3.47 2.35 1.48
11 27.4526.14 17.6216.02 14.1212.28 11.919.93 10.008.00 8.156.27 4.686.32 3.294.61 2.153.12
1 28.82 19.39 16.24 14.29 12.50 10.59 8.53 6.45 4.52
1 30.26 21.32 18.68 17.15 15.63 13.77 11.52 9.03 6.55
1 31.77 23.46 21.48 20.58 19.54 17.89 15.55 12.65 9.50
11 35.0333.36 28.3825.80 28.4124.70 24.7029.64 30.5324.42 30.2423.26 20.9928.34 17.7124.79 13.7819.98
1 36.79 31.22 32.67 35.57 38.16 39.31 38.26 34.71 28.97
1 38.62 34.34 34.57 42.68 47.70 51.11 51.65 48.59 42.00
11 42.5840.55 41.5637.78 49.6943.21 51.2261.46 74.5359.62 86.3766.44 69.7394.13 68.0295.23 60.9080.30
1 44.71 45.71 57.14 73.75 93.16 112.29 127.08 133.32 128.04
1 46.94 50.28 65.71 88.50 116.45 145.97 171.56 186.65 185.66
1 49.29 55.31 75.57 106.20 145.57 189.77 231.32 261.32 269.21
1 51.75 60.84 86.90 127.44 181.96 246.69 312.66 365.84 390.35
TWR−−−−→ 2.59 6.08 13.04 25.49 45.49 74.01 109.43 146.34 175.66
FIGURE 4.7 Values offfor 10 sequences at−1, 30 at+ 1