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ResearchFormerly WizWand

Portfolio Optimization on FF25 T=120 (Sharpe ratio)

0.2474Sharpe RatiomSSRM-PGA
0.1507840.1758670.200950.226033Oct 28, 2024
Updated 8mo ago

Evaluation results

MethodLinks
mSSRM-PGAm=152024.100.2474
mSSRM-PGAm=202024.100.2474
mSSRM-PGAm=102024.100.2472
PLCT2024.100.2468
IPSRM-D2024.100.2439
1/N2024.100.2276
MAXER2024.100.1921
SSMP2024.100.192
SSPO2024.100.1789
S12024.100.1789
S32024.100.1609
S22024.100.1578
SPOLC2024.100.1545