ResearchBenchmarksPortfolio Optimization on FF100 T=60 (Sharpe ratio)Follow0.229Sharpe RatiomSSRM-PGA0.0248480.0778490.130850.183851Oct 28, 2024Evaluation ResultsMethodMethodLinksSharpe RatiomSSRM-PGAm=10m=102024.100.229mSSRM-PGAm=15m=152024.100.2289mSSRM-PGAm=20m=202024.100.2285PLCT2024.100.2271/N2024.100.2087IPSRM-D2024.100.1766SSMP2024.100.0883SPOLC2024.100.0562S32024.100.0469S22024.100.0456SSPO2024.100.0425S12024.100.0327