Portfolio Optimization on S&P 500 daily return data 2010-2019
1.1759Mean ReturnSplit
Evaluation results
| Method | Links | |||
|---|---|---|---|---|
| SplitPolicy=Plug-in, SDE Paths=Split2026.06 | 1.1759 | 0.1045 | 0.5442 | |
| Split + OursPolicy=Plug-in, SDE Paths=Split + Ours2026.06 | 1.1685 | 0.0952 | 0.5462 | |
| Split + SyntheticPolicy=Plug-in, SDE Paths=Split + Synthetic2026.06 | 1.1138 | 0.0399 | 0.5702 | |
| BootstrapPolicy=RL, SDE Paths=Bootstrap2026.06 | 1.0934 | 0.0105 | 0.9121 | |
| SplitPolicy=RL, SDE Paths=Split2026.06 | 1.0932 | 0.0113 | 0.8779 | |
| Split + SyntheticPolicy=RL, SDE Paths=Split + Synthetic2026.06 | 1.0853 | 0.0074 | 0.993 | |
| Split + OursPolicy=RL, SDE Paths=Split + Ours2026.06 | 1.0732 | 0.0054 | 0.9968 |