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ResearchFormerly WizWand

Portfolio Optimization on FF100 T=60 (Sharpe ratio)

0.229Sharpe RatiomSSRM-PGA
0.0248480.0778490.130850.183851Oct 28, 2024
Updated 8mo ago

Evaluation results

MethodLinks
mSSRM-PGAm=102024.100.229
mSSRM-PGAm=152024.100.2289
mSSRM-PGAm=202024.100.2285
PLCT2024.100.227
1/N2024.100.2087
IPSRM-D2024.100.1766
SSMP2024.100.0883
SPOLC2024.100.0562
S32024.100.0469
S22024.100.0456
SSPO2024.100.0425
S12024.100.0327