ResearchBenchmarksPortfolio Optimization on FF100MEINV T=120 (Sharpe ratio)Follow0.2293Sharpe RatiomSSRM-PGA0.0947240.1296620.16460.199538Oct 28, 2024Evaluation ResultsMethodMethodLinksSharpe RatiomSSRM-PGAm=15m=152024.100.2293mSSRM-PGAm=20m=202024.100.2292PLCT2024.100.2279mSSRM-PGAm=10m=102024.100.22711/N2024.100.2151IPSRM-D2024.100.1712SSMP2024.100.1495MAXER2024.100.1479SPOLC2024.100.1218S32024.100.1215S22024.100.1203SSPO2024.100.1109S12024.100.0999