A Numerical Study for Robust Active Portfolio Management with Worst-Case Downside Risk Measure

Table 2

Asset market daily returns from January 1, 2000 to March 18, 2011.

Asset	Mean (10^−3)	Standard deviation	Minimum	Maximum
Panel A: in-sample data: from January 01, 2000 to April 21, 2006
001.SS	0.4263	0.2019	−0.0654	0.1096
002.SS	0.4194	0.1970	−0.0651	0.1098
003.SS	0.8951	0.4687	−0.1029	0.1840
004.SS	0.4381	0.1997	−0.0631	0.1137
005.SS	0.3720	0.2390	−0.0753	0.1039
006.SS	0.2563	0.3519	−0.0974	0.1054
007.SS	0.5023	0.1960	−0.0634	0.1089
001.SZ	0.4986	0.2282	−0.0693	0.1163
002.SZ	0.4399	0.2284	−0.0680	0.1208
106.SZ	0.2936	0.2172	−0.0682	0.1056
BSESN	0.5748	0.2476	−0.1181	0.1046
KLSE	0.2094	0.0862	−0.0634	0.0649
HSI	0.1150	0.1749	−0.0929	0.0601
N225	−0.0510	0.2112	−0.0901	0.0722
Panel B: out-of-sample data: from April 24, 2006 to March 18, 2011
001.SS	0.0172	0.4691	−0.1130	0.0903
002.SS	0.0138	0.4692	−0.1128	0.0903
003.SS	0.6245	0.6482	−0.1572	0.0937
004.SS	0.1737	0.4982	−0.1186	0.0895
005.SS	0.5640	0.5404	−0.1261	0.0918
006.SS	0.1804	0.9067	−0.1817	0.0951
007.SS	0.1058	0.5745	−0.1365	0.0938
001.SZ	0.4622	0.5780	−0.1210	0.0916
002.SZ	0.4951	0.5776	−0.1206	0.0916
106.SZ	0.6488	0.5608	−0.1339	0.0852
BSESN	0.2246	0.4266	−0.1268	0.1599
KLSE	0.2428	0.2111	−0.1925	0.1986
HSI	0.0759	0.4654	−0.1358	0.1341
N225	−0.6399	0.3917	−0.1272	0.1323