ResearchBenchmarksPortfolio Optimization on FF100 T=120 (Sharpe ratio)Follow0.2391Sharpe RatiomSSRM-PGA0.0390040.0909520.14290.194848Oct 28, 2024Evaluation ResultsMethodMethodLinksSharpe RatiomSSRM-PGAm=10m=102024.100.2391mSSRM-PGAm=20m=202024.100.2384mSSRM-PGAm=15m=152024.100.2381PLCT2024.100.23691/N2024.100.2087IPSRM-D2024.100.2012MAXER2024.100.1351SPOLC2024.100.0988S32024.100.0603S22024.100.0602SSMP2024.100.0573SSPO2024.100.0529S12024.100.0467