TERMINAL WEALTH & VAR ANALYSIS

Two-Sided Confidence Parameter

One-Sided Confidence Parameter

Upper Expeceted Boundary

Lower Expected Boundary
Expected Terminal Wealth
Continuous Volatility
Continuous Return
Discrete Volatility
Discrete Return
Intitial Wealth

Time Horizon

Confidence

VaR
1. Terminal Wealth as Function of Confidence
Terminal Wealth & VaR as Function of Confidence
2500.00 10%
1000 1 50.00% 0.0000 0.6745 8.00% 16.00% 6.61% 14.73% 6.83% 1,068.34 967.27 1,179.97
2000.00 0%
1000 1 75.00% 0.6745 1.1503 8.00% 16.00% 6.61% 14.73% -3.27% 1,068.34 901.77 1,265.67
-10%
1000 1 90.00% 1.2816 1.6449 8.00% 16.00% 6.61% 14.73% -11.55% 1,068.34 838.40 1,361.34 1500.00 Expected Terminal Wealth
-20%
1000 1 95.00% 1.6449 1.9600 8.00% 16.00% 6.61% 14.73% -16.16% 1,068.34 800.37 1,426.03 1000.00 Lower Expected Boundary
-30%
1000 1 97.50% 1.9600 2.2414 8.00% 16.00% 6.61% 14.73% -19.96% 1,068.34 767.86 1,486.41 Upper Expeceted Boundary
500.00 -40%
1000 1 98.00% 2.0537 2.3263 8.00% 16.00% 6.61% 14.73% -21.06% 1,068.34 758.31 1,505.13 VaR
1000 1 99.00% 2.3263 2.5758 8.00% 16.00% 6.61% 14.73% -24.17% 1,068.34 730.94 1,561.49 0.00 -50%
1000 1 99.50% 2.5758 2.8070 8.00% 16.00% 6.61% 14.73% -26.91% 1,068.34 706.45 1,615.60 0% 0% 0% 0% 0% 0% 0% 0% 0% %
.0 .0 .0 .0 .5 .0 .0 .5 .9 00
1000 1 99.90% 3.0902 3.2905 8.00% 16.00% 6.61% 14.73% -32.24% 1,068.34 657.88 1,734.90 50 75 90 95 97 98 99 99 99 0.
10
1000 1 100.00% 4.7534 4.8916 8.00% 16.00% 6.61% 14.73% -46.97% 1,068.34 519.62 2,196.50

2. Terminal Wealth as Function of Time

Terminal Wealth & VaR as Function of Time
1000 0.50 95.00% 1.6449 1.9600 8.00% 16.00% 6.61% 14.73% -12.92% 1,033.61 842.69 1,267.77 40000.00 100%
1000 1.00 95.00% 1.6449 1.9600 8.00% 16.00% 6.61% 14.73% -16.16% 1,068.34 800.37 1,426.03 35000.00 80%
1000 2.00 95.00% 1.6449 1.9600 8.00% 16.00% 6.61% 14.73% -18.99% 1,141.35 758.66 1,717.08 30000.00 60% Expected Terminal Wealth
1000 3.00 95.00% 1.6449 1.9600 8.00% 16.00% 6.61% 14.73% -19.87% 1,219.35 739.43 2,010.77 25000.00 Lower Expected Boundary
40%
1000 4.00 95.00% 1.6449 1.9600 8.00% 16.00% 6.61% 14.73% -19.77% 1,302.68 731.13 2,321.01 20000.00 Upper Expeceted Boundary
20%
1000 5.00 95.00% 1.6449 1.9600 8.00% 16.00% 6.61% 14.73% -19.06% 1,391.70 729.62 2,654.57 15000.00 VaR
10000.00 0%
1000 10.00 95.00% 1.6449 1.9600 8.00% 16.00% 6.61% 14.73% -10.00% 1,936.84 777.11 4,827.33
5000.00 -20%
1000 15.00 95.00% 1.6449 1.9600 8.00% 16.00% 6.61% 14.73% 5.44% 2,695.51 880.83 8,248.80
1000 20.00 95.00% 1.6449 1.9600 8.00% 16.00% 6.61% 14.73% 26.90% 3,751.35 1,031.08 13,648.45 0.00 -40%
1000 30.00 95.00% 1.6449 1.9600 8.00% 16.00% 6.61% 14.73% 92.65% 7,265.77 1,493.92 35,337.49 0.50 1.00 2.00 3.00 4.00 5.00 10.00 15.00 20.00 30.00

3. Terminal Wealth as Function of (Volatility-)Risk

Terminal Wealth & VaR as Function of (Volatility-)Risk
1000 5 95.00% 1.6449 1.9600 8.00% 12.00% 7.08% 11.08% -5.19% 1,424.94 876.92 2,315.43 3500.00 0%
1000 5 95.00% 1.6449 1.9600 8.00% 13.00% 6.98% 11.99% -8.82% 1,417.43 837.95 2,397.64 3000.00 -5%
1000 5 95.00% 1.6449 1.9600 8.00% 14.00% 6.86% 12.91% -12.34% 1,409.37 800.43 2,481.58 -10%
2500.00 Expected Terminal Wealth
1000 5 95.00% 1.6449 1.9600 8.00% 15.00% 6.74% 13.82% -15.75% 1,400.79 764.33 2,567.24 -15%
2000.00 Lower Expected Boundary
1000 5 95.00% 1.6449 1.9600 8.00% 16.00% 6.61% 14.73% -19.06% 1,391.70 729.62 2,654.57 -20%
1500.00 Upper Expeceted Boundary
1000 5 95.00% 1.6449 1.9600 8.00% 17.00% 6.47% 15.64% -22.26% 1,382.12 696.27 2,743.56 -25%
VaR
1000 5 95.00% 1.6449 1.9600 8.00% 18.00% 6.33% 16.55% -25.36% 1,372.05 664.23 2,834.16 1000.00 -30%
1000 5 95.00% 1.6449 1.9600 8.00% 19.00% 6.17% 17.46% -28.36% 1,361.52 633.47 2,926.34 500.00 -35%
1000 5 95.00% 1.6449 1.9600 8.00% 20.00% 6.01% 18.36% -31.26% 1,350.55 603.96 3,020.05 0.00 -40%
1000 5 95.00% 1.6449 1.9600 8.00% 21.00% 5.84% 19.26% -34.07% 1,339.14 575.65 3,115.24 12.00% 13.00% 14.00% 15.00% 16.00% 17.00% 18.00% 19.00% 20.00% 21.00%

4. Terminal Wealth as Function of Expected Return

Terminal Wealth & VaR as Function of Expected Return
3500.00 0.00%
1000 5 95.00% 1.6449 1.9600 3.00% 16.00% 1.76% 15.44% -38.11% 1,092.19 555.13 2,148.83 3000.00 -5.00%
1000 5 95.00% 1.6449 1.9600 4.00% 16.00% 2.75% 15.29% -34.62% 1,147.54 587.03 2,243.26 -10.00%
2500.00
1000 5 95.00% 1.6449 1.9600 5.00% 16.00% 3.73% 15.15% -30.97% 1,205.10 620.37 2,340.96 -15.00%
2000.00 -20.00% Expected Terminal Wealth
1000 5 95.00% 1.6449 1.9600 6.00% 16.00% 4.70% 15.01% -27.17% 1,264.94 655.22 2,442.03 -25.00% Lower Expected Boundary
1500.00
1000 5 95.00% 1.6449 1.9600 7.00% 16.00% 5.66% 14.87% -23.20% 1,327.12 691.62 2,546.53 -30.00% Upper Expeceted Boundary
1000.00
1000 5 95.00% 1.6449 1.9600 8.00% 16.00% 6.61% 14.73% -19.06% 1,391.70 729.62 2,654.57 -35.00% VaR
500.00 -40.00%
1000 5 95.00% 1.6449 1.9600 9.00% 16.00% 7.55% 14.60% -14.74% 1,458.77 769.28 2,766.23
0.00 -45.00%
1000 5 95.00% 1.6449 1.9600 10.00% 16.00% 8.48% 14.47% -10.23% 1,528.38 810.64 2,881.60
3.00% 4.00% 5.00% 6.00% 7.00% 8.00% 9.00% 10.00 11.00 12.00
1000 5 95.00% 1.6449 1.9600 11.00% 16.00% 9.41% 14.34% -5.55% 1,600.62 853.77 3,000.78 % % %
1000 5 95.00% 1.6449 1.9600 12.00% 16.00% 10.32% 14.21% -0.66% 1,675.54 898.71 3,123.85