Table 2: The effect of pure intensity parameter b

  b = -1.000b = -5.000b = -10.000b = -11.000b = -12.500b = -14.000b = -15.500
a = 0.000 P/D
sd(P/D)
R
sd(R)
rf
sd(rf)
ep
corr(x,R)
Sharpe
16.66
0.53
8.00
4.60
7.88
2.53
0.11
0.83
0.02 		17.59
2.06
8.14
10.36
7.73
6.94
0.42
0.38
0.04 		19.91
3.68
8.21
15.78
6.20
6.78
2.00
0.25
0.13 		20.26
3.96
8.26
16.66
5.75
6.26
2.51
0.24
0.15 		20.51
4.29
8.42
17.92
4.82
5.27
3.60
0.22
0.20 		20.22
4.45
8.72
19.17
3.28
4.39
5.44
0.21
0.28 		19.12
4.38
9.27
20.53
0.66
5.21
8.62
0.20
0.42