New Safe Approximation of Ambiguous Probabilistic Constraints for Financial Optimization Problem

Table 4

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

0.91	6.940	5.0	2.984245	13.011700	6.137194	3.184769	12.656970	13.609830	17.449420	18.766740	9.504627	2.694527
		6.0	2.984154	13.011350	6.137643	3.184694	12.657310	13.609780	17.449110	18.766820	9.504694	2.694462
		6.8	2.984081	13.011070	6.137998	3.184634	12.657580	13.609740	17.448870	18.766890	9.504748	2.694410
0.92	7.107	5.1	2.984236	13.011670	6.137242	3.184761	12.657000	13.609820	17.449380	18.766740	9.504634	2.694521
		6.1	2.984145	13.011310	6.137690	3.184686	12.657340	13.609770	17.449080	18.766830	9.504701	2.694455
		7.0	2.984063	13.011000	6.138089	3.184619	12.657650	13.609730	17.448810	18.766900	9.504761	2.694397
0.93	7.293	5.2	2.984227	13.011630	6.137290	3.184754	12.657040	13.609820	17.449350	18.766750	9.504641	2.694514
		6.3	2.984127	13.011240	6.137782	3.184672	12.657410	13.609760	17.449020	18.766840	9.504715	2.694442
		7.1	2.984054	13.010960	6.138136	3.184612	12.657680	13.609720	17.448770	18.766910	9.504768	2.694390
0.94	7.501	5.4	2.984209	13.011560	6.137383	3.184739	12.657100	13.609800	17.449290	18.766770	9.504655	2.694501
		6.3	2.984127	13.011240	6.137785	3.184672	12.657410	13.609760	17.449010	18.766840	9.504715	2.694442
		7.3	2.984036	13.010890	6.138227	3.184598	12.657750	13.609710	17.448710	18.766930	9.504782	2.694378
0.95	7.740	5.5	2.984200	13.011520	6.137432	3.184732	12.657140	13.609800	17.449250	18.766780	9.504662	2.694495
		6.5	2.984109	13.011170	6.137877	3.184657	12.657480	13.609750	17.448950	18.766860	9.504729	2.694429
		7.5	2.984019	13.010820	6.138319	3.184583	12.657820	13.609700	17.448650	18.766940	9.504796	2.694365
0.96	8.024	5.7	2.984182	13.011450	6.137526	3.184717	12.657210	13.609790	17.449190	18.766790	9.504676	2.694482
		6.8	2.984082	13.011060	6.138015	3.184635	12.657580	13.609740	17.448850	18.766880	9.504750	2.694410
		7.6	2.984010	13.010790	6.138367	3.184576	12.657850	13.609700	17.448610	18.766950	9.504803	2.694358
0.97	8.374	6.1	2.984145	13.011310	6.137710	3.184687	12.657340	13.609770	17.449060	18.766830	9.504704	2.694456
		6.9	2.984073	13.011030	6.138064	3.184628	12.657620	13.609730	17.448820	18.766890	9.504757	2.694404
		7.9	2.983983	13.010680	6.138504	3.184554	12.657950	13.609680	17.448520	18.766970	9.504823	2.694339
0.98	8.845	6.4	2.984112	13.011180	6.137884	3.184660	12.657470	13.609750	17.448940	18.766860	9.504730	2.694432
		7.3	2.984037	13.010890	6.138248	3.184599	12.657750	13.609710	17.448690	18.766920	9.504784	2.694378
		8.3	2.979340	12.993050	6.159839	3.180717	12.675100	13.607610	17.434070	18.771330	9.507953	2.691004
0.99	9.597	6.8	2.984075	13.011040	6.138075	3.184630	12.657610	13.609730	17.448810	18.766890	9.504758	2.694406
		7.9	2.983975	13.010650	6.138563	3.184548	12.657980	13.609670	17.448480	18.766980	9.504832	2.694334
		8.9	2.979341	12.993050	6.159864	3.180718	12.675100	13.607610	17.434050	18.771320	9.507958	2.691005