FRONTIER COMPARISON: MULTIPLE SCENARIOS

MAXIMAL CE-VALUE ALLOCATIONS

MINIMAL VARIANCE ALLOCATIONS

Note that Stock 3 rises to 46% of the allocation and remains a substantial part of the portfolio over a range of risk tolerances using the Maximal CE-Value criterion, whereas with the minimum variance criterion, Stock 3 never rises to more than 6% of the allocation.

R.E. Davis, "Decision Policy Optimization via Certain Equivalent Maximization using Exponential Utility", Vol 5, Advances in Mathematical Programming and Financial Planning, JAI Press, 1998

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