Quadratic Portfolio Optimization on 200 Assets (2 Constraints, test)
1.969RegretLD
Evaluation Results
| Method | Links | ||
|---|---|---|---|
| LDdifferentiation=Exact, multiplier_type=static, norm=L2, ∞2026.06 | 1.969 | 1,309 | |
| IMLE2026.06 | 2.032 | 5,586 | |
| MSE2026.06 | 2.07 | 993 | |
| LDdifferentiation=Exact, multiplier_type=static, norm=L1, ∞2026.06 | 2.075 | 69 | |
| SPO+2026.06 | 2.092 | 4,408 | |
| LDdifferentiation=IMLE, multiplier_type=static, norm=L2, ∞2026.06 | 2.101 | 6,465 | |
| LDdifferentiation=IMLE, multiplier_type=static, norm=L1, ∞2026.06 | 11.028 | 6,339 | |
| LDdifferentiation=SPO+, multiplier_type=static, norm=L1, ∞2026.06 | 14.833 | 6,685 |