Portfolio Optimization (z = 1.20) on S&P 500 daily return data (2010-2019)
1.3517Mean ReturnSplit
Evaluation results
| Method | Links | |||
|---|---|---|---|---|
| SplitPolicy=Plug-in, SDE Paths=Split2026.06 | 1.3517 | 0.4179 | 0.5442 | |
| Split + OursPolicy=Plug-in, SDE Paths=Split + Ours2026.06 | 1.337 | 0.3807 | 0.5462 | |
| Split + SyntheticPolicy=Plug-in, SDE Paths=Split + Synthetic2026.06 | 1.2262 | 0.1572 | 0.5708 | |
| BootstrapPolicy=RL, SDE Paths=Bootstrap2026.06 | 1.1865 | 0.0425 | 0.9068 | |
| SplitPolicy=RL, SDE Paths=Split2026.06 | 1.1861 | 0.046 | 0.8695 | |
| Split + SyntheticPolicy=RL, SDE Paths=Split + Synthetic2026.06 | 1.1706 | 0.0302 | 0.9866 | |
| Split + OursPolicy=RL, SDE Paths=Split + Ours2026.06 | 1.1464 | 0.0218 | 0.9965 |