Portfolio Optimization on Noisy Portfolio Return Series
0.0224MSEPredict-then-Optimize
Evaluation Results
| Method | Links | |
|---|---|---|
| Predict-then-Optimizerebalancing budget (γ)=0.52026.02 | 0.0224 | |
| Time2Deciderebalancing budget (γ)=0.52026.02 | 0.0232 | |
| Time2Deciderebalancing budget (γ)=0.752026.02 | 0.0245 | |
| Predict-then-Optimizerebalancing budget (γ)=0.752026.02 | 0.03 | |
| SFTrebalancing budget (γ)=0.52026.02 | 0.0324 | |
| Time2Deciderebalancing budget (γ)=1.252026.02 | 0.0332 | |
| Uniformrebalancing budget (γ)=0.52026.02 | 0.0336 | |
| Time2Deciderebalancing budget (γ)=1.52026.02 | 0.0344 | |
| SFTrebalancing budget (γ)=0.752026.02 | 0.0347 | |
| Time2Deciderebalancing budget (γ)=1.02026.02 | 0.0347 | |
| Uniformrebalancing budget (γ)=0.752026.02 | 0.0356 | |
| Time2Deciderebalancing budget (γ)=1.752026.02 | 0.0394 | |
| Uniformrebalancing budget (γ)=1.02026.02 | 0.0403 | |
| Predict-then-Optimizerebalancing budget (γ)=1.02026.02 | 0.0407 | |
| SFTrebalancing budget (γ)=1.02026.02 | 0.0408 | |
| Pretrainedrebalancing budget (γ)=0.52026.02 | 0.0409 | |
| Uniformrebalancing budget (γ)=1.252026.02 | 0.0415 | |
| SFTrebalancing budget (γ)=1.252026.02 | 0.042 | |
| Pretrainedrebalancing budget (γ)=0.752026.02 | 0.0428 | |
| SFTrebalancing budget (γ)=1.52026.02 | 0.0434 | |
| Predict-then-Optimizerebalancing budget (γ)=1.252026.02 | 0.0446 | |
| Uniformrebalancing budget (γ)=1.52026.02 | 0.0449 | |
| Time2Deciderebalancing budget (γ)=2.02026.02 | 0.0476 | |
| Pretrainedrebalancing budget (γ)=1.252026.02 | 0.0479 | |
| Pretrainedrebalancing budget (γ)=1.02026.02 | 0.0485 | |
| SFTrebalancing budget (γ)=1.752026.02 | 0.0496 | |
| Uniformrebalancing budget (γ)=1.752026.02 | 0.0506 | |
| Predict-then-Optimizerebalancing budget (γ)=1.52026.02 | 0.0522 | |
| Pretrainedrebalancing budget (γ)=1.52026.02 | 0.0529 | |
| SFTrebalancing budget (γ)=2.02026.02 | 0.0562 | |
| Pretrainedrebalancing budget (γ)=1.752026.02 | 0.0582 | |
| Uniformrebalancing budget (γ)=2.02026.02 | 0.0585 | |
| Predict-then-Optimizerebalancing budget (γ)=1.752026.02 | 0.0633 | |
| Pretrainedrebalancing budget (γ)=2.02026.02 | 0.0664 | |
| Predict-then-Optimizerebalancing budget (γ)=2.02026.02 | 0.0781 |