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ResearchFormerly WizWand

Portfolio Optimization on FF100MEINV T=60 (Sharpe ratio)

0.2234Sharpe RatiomSSRM-PGA
0.0817520.1185260.15530.192074Oct 28, 2024
Updated 8mo ago

Evaluation results

MethodLinks
mSSRM-PGAm=202024.100.2234
mSSRM-PGAm=152024.100.2232
PLCT2024.100.222
mSSRM-PGAm=102024.100.2217
1/N2024.100.2151
IPSRM-D2024.100.1662
SSMP2024.100.1448
S32024.100.11
S22024.100.1034
SPOLC2024.100.1009
S12024.100.0879
SSPO2024.100.0872