Long-Run Savings and Investment Strategy Optimization
Table 1
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
42
0.33%
0.53%
0.20%
16%
20%
−27.34
89
0.64%
0.98%
0.34%
32%
30%
−43.43
141
0.93%
1.37%
0.44%
48%
40%
−61.03
199
1.19%
1.73%
0.54%
64%
50%
−80.12
261
1.43%
2.04%
0.62%
82%
60%
−100.73
328
1.64%
2.34%
0.69%
107%
70%
−123.16
401
1.84%
2.61%
0.77%
*
80%
−147.67
481
2.01%
2.87%
0.86%
*
90%
−174.85
569
2.16%
3.12%
0.97%
*
100%
−205.36
668
2.27%
3.37%
1.10%
*
The maximum internal interest rate for the bechmarks is 2.5014% for 152% invested in stocks.
