Optimal HARA Investments with Terminal VaR Constraints

Table 3

Numerical results for variations in , HV case.

Risk measure	Merton wealth	Put strike	Protection ratio	Punishment
1%	41,510	6,162	85.16%	499
2%	41,867	8,349	80.05%	375
5%	42,009	10,898	74.06%	315
10%	43,340	15,519	64.42%	216
20%	51,981	23,820	54.18%	136
30%	61,672	37,612	39.01%	71.6
50%	70,447	70,598	0.00%	0.48