Table 1 Expected profit distribution results based on different risk control models
Strategy | CVaR/$ | VaR/$ | SP (%) | Minimum profit/$ | Expected profit/$ |
|---|---|---|---|---|---|
Risk-neutral strategy | 727 | 1056 | 18 | 559 | 3734 |
CVaR risk control strategy | 1170 | 1289 | 18 | 978 | 3673 |
VaR risk control strategy | 1147 | 1455 | 16 | 977 | 3677 |
SP risk control strategy | 1116 | 1400 | 12 | 957 | 3683 |
Integrated risk control strategy | 1146 | 1427 | 12 | 982 | 3675 |