ResearchBenchmarksPortfolio Optimization on FF100MEINV T=60 (Sharpe ratio)Follow0.2234Sharpe RatiomSSRM-PGA0.0817520.1185260.15530.192074Oct 28, 2024Evaluation ResultsMethodMethodLinksSharpe RatiomSSRM-PGAm=20m=202024.100.2234mSSRM-PGAm=15m=152024.100.2232PLCT2024.100.222mSSRM-PGAm=10m=102024.100.22171/N2024.100.2151IPSRM-D2024.100.1662SSMP2024.100.1448S32024.100.11S22024.100.1034SPOLC2024.100.1009S12024.100.0879SSPO2024.100.0872