ResearchBenchmarksPortfolio Optimization on FF32 T=60 (Sharpe ratio)Portfolio Optimization on FF32 T=60 (Sharpe ratio)Follow0.2615Sharpe RatiomSSRM-PGA0.1111160.1501580.18920.228242Oct 28, 2024Evaluation resultsMethodMethodLinksSharpe RatiomSSRM-PGAm=15m=152024.100.2615mSSRM-PGAm=20m=202024.100.2615mSSRM-PGAm=10m=102024.100.2612PLCT2024.100.261/N2024.100.2234IPSRM-D2024.100.1952SPOLC2024.100.1734MAXER2024.100.1625SSMP2024.100.1535S32024.100.1238S22024.100.1225SSPO2024.100.1181S12024.100.1169