Quadratic Portfolio Optimization on 2 Constraints, 400 Assets (test)
1.992RegretLD
Evaluation Results
| Method | Links | ||
|---|---|---|---|
| LDdifferentiation=Exact, multiplier_type=static, norm=L2, ∞2026.06 | 1.992 | 3,614 | |
| IMLE2026.06 | 2.026 | 11,327 | |
| SPO+2026.06 | 2.087 | 10,277 | |
| LDdifferentiation=IMLE, multiplier_type=static, norm=L2, ∞2026.06 | 2.114 | 11,640 | |
| MSE2026.06 | 2.324 | 4,648 | |
| LDdifferentiation=Exact, multiplier_type=static, norm=L1, ∞2026.06 | 2.36 | 1,975 | |
| LDdifferentiation=IMLE, multiplier_type=static, norm=L1, ∞2026.06 | 12.31 | 11,469 | |
| LDdifferentiation=SPO+, multiplier_type=static, norm=L1, ∞2026.06 | 16.84 | 11,698 |