Portfolio Optimization on Fama-French Portfolios Dataset 2021-2023
55.08Return (%)LOG
Evaluation results
| Method | Links | ||||
|---|---|---|---|---|---|
| LOGEstimation Method=M-estimation2025.11 | 55.08 | 0.32 | 2.46 | 3.57 | |
| LOGEstimation Method=SSQP2025.11 | 54.86 | 0.33 | 2.45 | 3.59 | |
| EXPEstimation Method=SSQP2025.11 | 52.5 | 0.32 | 2.6 | 3.98 | |
| EXPEstimation Method=M-estimation2025.11 | 51.85 | 0.31 | 2.55 | 3.86 | |
| MVEstimation Method=SSQP2025.11 | 42.21 | 0.28 | 3.36 | 5.09 | |
| MVEstimation Method=M-estimation2025.11 | 40.31 | 0.28 | 3.29 | 5.02 | |
| GMVEstimation Method=SSQP2025.11 | 34.94 | 0.27 | 2.81 | 4.28 | |
| GMVEstimation Method=M-estimation2025.11 | 33.43 | 0.27 | 2.71 | 4.14 | |
| Equal Weight2025.11 | 15.1 | 0.22 | 0.73 | 1.15 |