Long-Run Savings and Investment Strategy Optimization
Table 3
Equivalence between lifetime benchmark investment strategy (a fixed percentage is invested in stocks) and the CPPI (fixed ). We set , , and . Here, we consider , so, the factor derived from (23) is equal to .
ES (95%)
Equivalent
10%
−12.82
13
0.33%
0.32%
−0.02%
10%
20%
−27.34
28
0.64%
0.62%
−0.02%
19%
30%
−43.43
45
0.93%
0.91%
−0.02%
29%
40%
−61.03
63
1.19%
1.17%
−0.01%
39%
50%
−80.12
83
1.43%
1.43%
0.00%
50%
60%
−100.73
104
1.64%
1.66%
0.02%
61%
70%
−123.16
127
1.84%
1.89%
0.05%
73%
80%
−147.67
153
2.01%
2.11%
0.11%
87%
90%
−174.85
181
2.16%
2.33%
0.17%
106%
100%
−205.36
212
2.27%
2.54%
0.27%
*
The maximum internal interest rate for the bechmarks is 2.5014% for 152% invested in stocks.
