Portfolio Allocation on 2D coupled VG-jump model preliminary benchmark (test)
62.5Allocation WeightMerton (corr.)
Evaluation results
| Method | Links | ||
|---|---|---|---|
| Merton (corr.)Asset=Asset 22026.05 | 62.5 | — | |
| Merton (corr.)Asset=Asset 12026.05 | 52.7 | — | |
| Diff. simplexAsset=Asset 12026.05 | 50 | — | |
| Diff. simplexAsset=Asset 22026.05 | 50 | — | |
| Neural (VG, 3 seeds)Asset=Cash, Seeds=32026.05 | 39.4 | — | |
| Neural (VG, 3 seeds)Asset=Asset 1, Seeds=32026.05 | 34.8 | 34.1 | |
| Neural (VG, 3 seeds)Asset=Asset 2, Seeds=32026.05 | 25.8 | 58.7 | |
| Diff. simplexAsset=Cash2026.05 | 0 | — |