Sparse Tangent Portfolio Optimization on EuroStoxx50 (out-of-sample)
1.116Sharpe RatioSD-relaxation
Evaluation Results
| Method | Links | |
|---|---|---|
| SD-relaxationFramework=PFL, k=9, N=472026.07 | 1.116 | |
| SD-relaxationFramework=PFL, k=7, N=472026.07 | 1.041 | |
| DFL (Ours)Framework=DFL, k=9, N=472026.07 | 0.983 | |
| SD-relaxationFramework=PFL, k=5, N=472026.07 | 0.982 | |
| DFL (Ours)Framework=DFL, k=7, N=472026.07 | 0.972 | |
| DFL (Ours)Framework=DFL, k=5, N=472026.07 | 0.955 | |
| mSSRMFramework=PFL, k=9, N=472026.07 | 0.889 | |
| mSSRMFramework=PFL, k=7, N=472026.07 | 0.846 | |
| OSCARFramework=PFL, k=9, N=472026.07 | 0.841 | |
| OSCARFramework=PFL, k=7, N=472026.07 | 0.827 | |
| mSSRMFramework=PFL, k=5, N=472026.07 | 0.821 | |
| OSCARFramework=PFL, k=5, N=472026.07 | 0.809 | |
| OSCARFramework=Historic, k=9, N=472026.07 | 0.228 | |
| OSCARFramework=Historic, k=7, N=472026.07 | 0.198 | |
| OSCARFramework=Historic, k=5, N=472026.07 | 0.156 | |
| mSSRMFramework=Historic, k=9, N=472026.07 | 0.152 | |
| mSSRMFramework=Historic, k=7, N=472026.07 | 0.149 | |
| mSSRMFramework=Historic, k=5, N=472026.07 | 0.148 | |
| SD-relaxationFramework=Historic, k=5, N=472026.07 | 0.077 | |
| SD-relaxationFramework=Historic, k=7, N=472026.07 | -0.037 | |
| SD-relaxationFramework=Historic, k=9, N=472026.07 | -0.045 |