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ResearchFormerly WizWand

Portfolio Optimization on FF100 T=120 (Sharpe ratio)

0.2391Sharpe RatiomSSRM-PGA
0.0390040.0909520.14290.194848Oct 28, 2024
Updated 8mo ago

Evaluation results

MethodLinks
mSSRM-PGAm=102024.100.2391
mSSRM-PGAm=202024.100.2384
mSSRM-PGAm=152024.100.2381
PLCT2024.100.2369
1/N2024.100.2087
IPSRM-D2024.100.2012
MAXER2024.100.1351
SPOLC2024.100.0988
S32024.100.0603
S22024.100.0602
SSMP2024.100.0573
SSPO2024.100.0529
S12024.100.0467