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Portfolio Optimization on S&P 500 constituents (test)

-1.943Average LossPT
-2.07772-1.16836-0.2590.65036Jan 16, 2026

Evaluation results

MethodLinks
PTω=92026.01-1.9435.2610.3611.1351.897
PTω=72026.01-1.2345.360.3451.0751.818
PTω=52026.01-0.5695.3830.3150.9911.705
PTω=32026.010.0165.1890.2630.8831.543
PTω=12026.010.4684.1250.1760.7841.971
2-DRO-CMVω=92026.010.6181.2530.0741.1132.33
1-DRO-CMVω=92026.010.6981.1150.0621.1022.337
CMVω=92026.010.7521.1410.0521.0812.265
1-DRO-CMVω=72026.010.7751.1920.0621.0852.222
1-DRO-CMVω=52026.010.81.3530.0741.062.127
2-DRO-CMVω=72026.010.8231.2030.0581.0842.31
CMVω=52026.010.8361.2930.0631.0452.132
2-DRO-CMVω=52026.010.8511.1070.0591.0532.147
MVω=92026.010.8611.3170.0581.1472.236
CMVω=32026.010.8651.3670.0691.0162.089
MVω=72026.010.8741.3670.0611.1112.176
EWω=92026.010.8791.1630.0681.1952.45
MVω=52026.010.891.4450.0661.0732.103
2-DRO-CMVω=32026.010.8951.260.0651.0222.058
CMVω=72026.010.8950.9170.0461.0872.258
2-DRO-CMVω=12026.010.9251.5590.0810.9781.965
1-DRO-CMVω=32026.010.9291.3870.0721.0442.109
MVω=32026.010.9361.5120.0691.0372.033
1-DRO-CMVω=12026.010.951.3520.0670.9852.004
CMVω=12026.010.9841.1560.0611.0032.108
MVω=12026.011.0091.5780.0721.0081.971
EWω=72026.011.0161.1630.0681.1952.45
EWω=52026.011.1521.1630.0681.1952.45
EWω=32026.011.2881.1630.0681.1952.45
EWω=12026.011.4251.1630.0681.1952.45