INPUTS

MIN INIT MAX ExpRet StdDev c:cash c:bonds c:stocks cash 0.000 1.000 1.000 2.800 1.000 1.000 0.400 0.150 bonds 0.000 0.000 1.000 6.300 7.400 0.400 1.000 0.350 stocks 0.000 0.000 1.000 10.800 15.400 0.150 0.350 1.000

Risk Tolerance:

Marginal Utility Cutoff:

OUTPUT

NOTES

Sample data based on monthly real returns, 1980 - 1995 (equally weighted)