New Safe Approximation of Ambiguous Probabilistic Constraints for Financial Optimization Problem

Table 3

The optimal portfolio strategies under ball and budget perturbation set (%).

0.91	6.940	5.3	2.984554	13.012910	6.135631	3.185021	12.655810	13.610000	17.450490	18.766460	9.504393	2.694748
		6.2	2.984527	13.012800	6.135777	3.184999	12.655910	13.609980	17.450390	18.766480	9.504414	2.694729
		6.8	2.975392	12.991980	6.127129	3.176417	12.680580	13.618360	17.461880	18.778560	9.501712	2.687999
0.92	7.107	5.1	2.984560	13.012930	6.135599	3.185026	12.655790	13.610000	17.450520	18.766450	9.504388	2.694753
		6.2	2.984526	13.012800	6.135777	3.184999	12.655910	13.609980	17.450390	18.766480	9.504414	2.694729
		7.0	2.975386	12.991980	6.127086	3.176410	12.680590	13.618370	17.461920	18.778570	9.501704	2.687995
0.93	7.293	5.2	2.984557	13.012920	6.135615	3.185023	12.655800	13.610000	17.450500	18.766450	9.504390	2.694750
		6.4	2.984520	13.012780	6.135810	3.184994	12.655930	13.609980	17.450370	18.766490	9.504419	2.694724
		7.2	2.975385	12.991980	6.127073	3.176408	12.680590	13.618380	17.461930	18.778580	9.501702	2.687993
0.94	7.501	5.4	2.984551	13.012890	6.135648	3.185018	12.655820	13.610000	17.450480	18.766460	9.504395	2.694746
		7.0	2.984502	13.012700	6.135907	3.184979	12.656000	13.609970	17.450300	18.766500	9.504434	2.694711
		7.4	2.975387	12.991980	6.127092	3.176411	12.680580	13.618370	17.461910	18.778570	9.501705	2.687995
0.95	7.740	6.1	2.995548	13.063250	6.263475	3.197506	12.593050	13.586360	17.342490	18.742500	9.512746	2.703092
		6.8	2.984508	13.012730	6.135875	3.184984	12.655980	13.609970	17.450320	18.766500	9.504429	2.694716
		7.6	2.975396	12.991980	6.127152	3.176420	12.680580	13.618350	17.461860	18.778560	9.501717	2.688002
0.96	8.024	6.3	2.984523	13.012790	6.135794	3.184996	12.655920	13.609980	17.450380	18.766480	9.504417	2.694727
		7.5	2.984487	13.012640	6.135989	3.184966	12.656060	13.609960	17.450240	18.766520	9.504446	2.694700
		7.9	2.975394	12.991980	6.127137	3.176418	12.680580	13.618360	17.461870	18.778560	9.501714	2.688000
0.97	8.374	6.7	3.107925	13.246470	6.249412	3.300299	12.367660	13.505560	17.298960	18.604680	9.533868	2.785177
		7.4	2.984490	13.012650	6.135973	3.184969	12.656050	13.609960	17.450260	18.766510	9.504444	2.694703
		8.2	2.984465	13.012560	6.136104	3.184949	12.656140	13.609950	17.450170	18.766540	9.504463	2.694685
0.98	8.845	7.4	2.984490	13.012650	6.135974	3.184969	12.656050	13.609960	17.450260	18.766510	9.504444	2.694702
		8.3	3.075341	13.108540	6.426811	3.273873	12.499240	13.483630	17.175920	18.633460	9.561397	2.761813
		8.7	2.984450	13.012500	6.136186	3.184936	12.656200	13.609940	17.450110	18.766550	9.504475	2.694674
0.99	9.597	7.4	2.984489	13.012650	6.135975	3.184969	12.656050	13.609960	17.450250	18.766510	9.504444	2.694702
		8.0	2.984471	13.012580	6.136072	3.184954	12.656120	13.609950	17.450190	18.766530	9.504458	2.694689
		9.4	2.967558	12.953210	6.191147	3.170496	12.715800	13.608250	17.415440	18.783990	9.511675	2.682452