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ResearchFormerly WizWand

Portfolio Optimization on FF100MEINV T=120 (Sharpe ratio)

0.2293Sharpe RatiomSSRM-PGA
0.0947240.1296620.16460.199538Oct 28, 2024
Updated 8mo ago

Evaluation results

MethodLinks
mSSRM-PGAm=152024.100.2293
mSSRM-PGAm=202024.100.2292
PLCT2024.100.2279
mSSRM-PGAm=102024.100.2271
1/N2024.100.2151
IPSRM-D2024.100.1712
SSMP2024.100.1495
MAXER2024.100.1479
SPOLC2024.100.1218
S32024.100.1215
S22024.100.1203
SSPO2024.100.1109
S12024.100.0999