Portfolio Optimization on Multivariate Return Series clean data (evaluation)
0.0245MSEPredict-then-Optimize
Evaluation results
| Method | Links | |
|---|---|---|
| Predict-then-Optimizerebalancing budget (gamma)=0.52026.02 | 0.0245 | |
| Predict-then-Optimizerebalancing budget (gamma)=0.752026.02 | 0.0294 | |
| Time2Deciderebalancing budget (gamma)=0.52026.02 | 0.0323 | |
| Predict-then-Optimizerebalancing budget (gamma)=12026.02 | 0.0345 | |
| Time2Deciderebalancing budget (gamma)=0.752026.02 | 0.0346 | |
| Predict-then-Optimizerebalancing budget (gamma)=1.252026.02 | 0.0376 | |
| Time2Deciderebalancing budget (gamma)=12026.02 | 0.0386 | |
| Time2Deciderebalancing budget (gamma)=1.252026.02 | 0.039 | |
| SFTrebalancing budget (gamma)=0.52026.02 | 0.0408 | |
| Time2Deciderebalancing budget (gamma)=1.52026.02 | 0.041 | |
| SFTrebalancing budget (gamma)=0.752026.02 | 0.0411 | |
| SFTrebalancing budget (gamma)=12026.02 | 0.0413 | |
| Predict-then-Optimizerebalancing budget (gamma)=1.52026.02 | 0.0413 | |
| Uniformrebalancing budget (gamma)=0.52026.02 | 0.0425 | |
| Time2Deciderebalancing budget (gamma)=1.752026.02 | 0.0442 | |
| Uniformrebalancing budget (gamma)=0.752026.02 | 0.0444 | |
| SFTrebalancing budget (gamma)=1.52026.02 | 0.0445 | |
| SFTrebalancing budget (gamma)=1.252026.02 | 0.0446 | |
| Pretrainedrebalancing budget (gamma)=0.52026.02 | 0.0447 | |
| Pretrainedrebalancing budget (gamma)=0.752026.02 | 0.0458 | |
| Predict-then-Optimizerebalancing budget (gamma)=1.752026.02 | 0.0472 | |
| Uniformrebalancing budget (gamma)=12026.02 | 0.0479 | |
| Uniformrebalancing budget (gamma)=1.252026.02 | 0.0485 | |
| Time2Deciderebalancing budget (gamma)=22026.02 | 0.0488 | |
| Pretrainedrebalancing budget (gamma)=12026.02 | 0.05 | |
| Uniformrebalancing budget (gamma)=1.52026.02 | 0.0505 | |
| Pretrainedrebalancing budget (gamma)=1.252026.02 | 0.0514 | |
| SFTrebalancing budget (gamma)=1.752026.02 | 0.0515 | |
| Pretrainedrebalancing budget (gamma)=1.52026.02 | 0.0523 | |
| Uniformrebalancing budget (gamma)=1.752026.02 | 0.0539 | |
| Predict-then-Optimizerebalancing budget (gamma)=22026.02 | 0.0553 | |
| SFTrebalancing budget (gamma)=22026.02 | 0.0565 | |
| Pretrainedrebalancing budget (gamma)=1.752026.02 | 0.0567 | |
| Uniformrebalancing budget (gamma)=22026.02 | 0.0586 | |
| Pretrainedrebalancing budget (gamma)=22026.02 | 0.0604 |