ResearchBenchmarksPortfolio Optimization on FF25 T=120 (Sharpe ratio)Follow0.2474Sharpe RatiomSSRM-PGA0.1507840.1758670.200950.226033Oct 28, 2024Evaluation ResultsMethodMethodLinksSharpe RatiomSSRM-PGAm=15m=152024.100.2474mSSRM-PGAm=20m=202024.100.2474mSSRM-PGAm=10m=102024.100.2472PLCT2024.100.2468IPSRM-D2024.100.24391/N2024.100.2276MAXER2024.100.1921SSMP2024.100.192SSPO2024.100.1789S12024.100.1789S32024.100.1609S22024.100.1578SPOLC2024.100.1545