Long-Run Savings and Investment Strategy Optimization
Table 2
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
20
0.33%
0.53%
0.20%
16%
20%
−27.34
42
0.64%
0.97%
0.33%
32%
30%
−43.43
67
0.93%
1.37%
0.44%
47%
40%
−61.03
93
1.19%
1.70%
0.51%
63%
50%
−80.12
123
1.43%
2.03%
0.60%
81%
60%
−100.73
154
1.64%
2.31%
0.67%
104%
70%
−123.16
189
1.84%
2.59%
0.76%
*
80%
−147.67
226
2.01%
2.85%
0.84%
*
90%
−174.85
268
2.16%
3.10%
0.95%
*
100%
−205.36
315
2.27%
3.35%
1.08%
*
The maximum internal interest rate for the bechmarks is 2.5014% for 152% invested in stocks.
