Bills Index SBEqPlus FidMag 199401 0.26 3.38 3.97 3.95 199402 0.23 -2.71 -3.21 -0.73 199403 0.26 -4.39 -5.45 -4.64 199404 0.27 1.29 1.21 1.00 199405 0.31 1.63 1.50 -1.15 199406 0.32 -2.47 -2.48 -4.34 199407 0.35 3.28 2.95 3.35 199408 0.37 4.08 4.06 4.74 199409 0.37 -2.45 -2.09 -2.60 199410 0.40 2.25 3.13 3.38 199411 0.41 -3.65 -3.32 -5.48 199412 0.46 1.46 2.16 1.41 199501 0.48 2.58 2.27 -1.02 199502 0.44 3.88 3.95 5.61 199503 0.50 2.95 2.98 3.74 199504 0.48 2.94 2.95 4.65 199505 0.50 3.95 4.48 2.80 199506 0.48 2.31 1.55 7.62 199507 0.48 3.30 3.74 7.68 199508 0.47 0.25 0.57 0.87 199509 0.45 4.23 4.41 1.83 199510 0.47 -0.36 -0.47 -2.56 199511 0.45 4.38 4.11 2.22 199512 0.47 1.93 1.33 -1.08 199601 0.46 3.39 3.50 1.44 199602 0.41 0.92 1.16 -0.65 199603 0.43 0.96 1.15 1.00 199604 0.41 1.47 1.47 0.64 199605 0.43 2.54 2.17 0.45 199606 0.42 0.38 1.12 -0.09 199607 0.44 -4.42 -4.70 -4.65 199608 0.44 2.10 2.20 2.52 199609 0.43 5.61 5.61 4.01 199610 0.44 2.76 3.22 2.37 199611 0.42 7.56 7.11 6.47 199612 0.44 -1.96 -1.49 -1.97
Mean-variance utility function
Risk tolerance
Piecewise linear utility function
Relative disutility of a negative excess return
Bills: Vanguard Money Market Reserves - Prime Portfolio Index: Vanguard Index 500 fund SBEqPlus: Smith-Breeden Equity Plus fund FidMag: Fidelity Magellan fund.