ResearchBenchmarksPortfolio Optimization on FF32 T=120 (Sharpe ratio)Follow0.2592Sharpe RatiomSSRM-PGA0.1391840.1703420.20150.232658Oct 28, 2024Evaluation ResultsMethodMethodLinksSharpe RatiomSSRM-PGAm=10m=102024.100.2592mSSRM-PGAm=15m=152024.100.2592mSSRM-PGAm=20m=202024.100.2592PLCT2024.100.2577IPSRM-D2024.100.2241/N2024.100.2234SPOLC2024.100.183SSPO2024.100.1557S12024.100.1525SSMP2024.100.1512MAXER2024.100.1465S32024.100.1463S22024.100.1438