ResearchBenchmarksPortfolio Optimization on FF25 T=60 (Sharpe ratio)Follow0.2481Sharpe RatiomSSRM-PGA0.1338040.1634770.193150.222823Oct 28, 2024Evaluation ResultsMethodMethodLinksSharpe RatiomSSRM-PGAm=10m=102024.100.2481mSSRM-PGAm=15m=152024.100.2481mSSRM-PGAm=20m=202024.100.2481PLCT2024.100.24751/N2024.100.2276IPSRM-D2024.100.2239SSMP2024.100.1934MAXER2024.100.1825SSPO2024.100.1544S12024.100.1497SPOLC2024.100.1452S32024.100.1428S22024.100.1382