ResearchBenchmarksPortfolio Optimization on FF25EU T=120 (Sharpe ratio)Follow0.2796Sharpe RatioPLCT0.0252160.0912580.15730.223342Oct 28, 2024Evaluation ResultsMethodMethodLinksSharpe RatioPLCT2024.100.2796mSSRM-PGAm=10m=102024.100.2796mSSRM-PGAm=15m=152024.100.2796mSSRM-PGAm=20m=202024.100.2796MAXER2024.100.2379IPSRM-D2024.100.23581/N2024.100.1574SSMP2024.100.0849S12024.100.0736S22024.100.0725SSPO2024.100.0719S32024.100.0709SPOLC2024.100.035