ResearchBenchmarksPortfolio Optimization on FF49 T=60 (Sharpe ratio)Follow0.2151Sharpe RatiomSSRM-PGA0.0495320.0925160.13550.178484Oct 28, 2024Evaluation ResultsMethodMethodLinksSharpe RatiomSSRM-PGAm=10m=102024.100.2151mSSRM-PGAm=15m=152024.100.2135mSSRM-PGAm=20m=202024.100.2134PLCT2024.100.21191/N2024.100.2057SSMP2024.100.1658MAXER2024.100.1581IPSRM-D2024.100.1436SPOLC2024.100.0752SSPO2024.100.0588S22024.100.0573S32024.100.057S12024.100.0559