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ResearchFormerly WizWand

Sparse Tangent Portfolio Optimization on EuroStoxx50 (out-of-sample)

1.116Sharpe RatioSD-relaxation
-0.091440.222030.53550.84897Jul 1, 2026
Updated 4mo ago

Evaluation results

MethodLinks
SD-relaxationFramework=PFL, k=9, N=472026.071.116
SD-relaxationFramework=PFL, k=7, N=472026.071.041
DFL (Ours)Framework=DFL, k=9, N=472026.070.983
SD-relaxationFramework=PFL, k=5, N=472026.070.982
DFL (Ours)Framework=DFL, k=7, N=472026.070.972
DFL (Ours)Framework=DFL, k=5, N=472026.070.955
mSSRMFramework=PFL, k=9, N=472026.070.889
mSSRMFramework=PFL, k=7, N=472026.070.846
OSCARFramework=PFL, k=9, N=472026.070.841
OSCARFramework=PFL, k=7, N=472026.070.827
mSSRMFramework=PFL, k=5, N=472026.070.821
OSCARFramework=PFL, k=5, N=472026.070.809
OSCARFramework=Historic, k=9, N=472026.070.228
OSCARFramework=Historic, k=7, N=472026.070.198
OSCARFramework=Historic, k=5, N=472026.070.156
mSSRMFramework=Historic, k=9, N=472026.070.152
mSSRMFramework=Historic, k=7, N=472026.070.149
mSSRMFramework=Historic, k=5, N=472026.070.148
SD-relaxationFramework=Historic, k=5, N=472026.070.077
SD-relaxationFramework=Historic, k=7, N=472026.07-0.037
SD-relaxationFramework=Historic, k=9, N=472026.07-0.045