Portfolio Performance Evaluation on 2D coupled VG-jump model 5,000-path Monte Carlo 1.0
1.012E[WT]Learned coupled VG policy (post-fix)
Evaluation results
| Method | Links | ||||
|---|---|---|---|---|---|
| Learned coupled VG policy (post-fix)Monte Carlo paths=5,000, Seeds=32026.05 | 1.012 | 0.18 | 0.795 | 0.747 | |
| Diffusion simplex baselineMonte Carlo paths=5,0002026.05 | 1.008 | 0.223 | 0.678 | 0.614 |