PORTFOLIO BACKTEST RESULTS
Normal CE-criterion: CE = m - s 2/(2t )
Gamma CE-criterion: CE =
Results for t = 6%
Note that the models performed about the same prior to 1990, but that during the current decade growth was faster using the Portfolio Gamma Model.
R.E. Davis, "An Empirical Back Test of the Portfolio Gamma Model for Optimal Asset Allocation", Vol 4, Advances in Mathematical Programming and Financial Planning, JAI Press, 1995.
