Table 3.
μ | σ | τ | ||
---|---|---|---|---|
CML | 0.98 | 0.3 | 0.43 | |
P=20, N=20 | SLB | 0.99 | 0.38 | 0.47 |
HML | 0.98 | 0.39 | 0.55 | |
HB | 0.99 | 0.39 | 0.55 | |
CML | 1.00 | 0.64 | 0.76 | |
P=20, N=80 | SLB | 1.00 | 0.64 | 0.73 |
HML | 1.00 | 0.67 | 0.8 | |
HB | 1.00 | 0.67 | 0.79 | |
CML | 1.00 | 0.91 | 0.95 | |
P=20, N=500 | SLB | 1.00 | 0.91 | 0.95 |
HML | 1.00 | 0.92 | 0.96 | |
HB | 1.00 | 0.92 | 0.96 | |
CML | 0.98 | 0.33 | 0.46 | |
P=80, N=20 | SLB | 0.99 | 0.4 | 0.51 |
HML | 0.99 | 0.44 | 0.6 | |
HB | 0.99 | 0.43 | 0.58 | |
CML | 1.00 | 0.87 | 0.94 | |
P=5, N=500 | SLB | 1.00 | 0.86 | 0.93 |
HML | 1.00 | 0.87 | 0.94 | |
HB | 1.00 | 0.87 | 0.94 |