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ResearchFormerly WizWand

Sparse Tangent Portfolio Optimization on FTSE100 (out-of-sample)

1.142Sharpe RatioSD-relaxation
0.1280.391250.65450.91775Jul 1, 2026
Updated 4mo ago

Evaluation results

MethodLinks
SD-relaxationFramework=PFL, k=19, N=932026.071.142
SD-relaxationFramework=PFL, k=14, N=932026.071.073
DFL (Ours)Framework=DFL, k=19, N=932026.071.071
DFL (Ours)Framework=DFL, k=14, N=932026.071.049
DFL (Ours)Framework=DFL, k=9, N=932026.070.983
SD-relaxationFramework=PFL, k=9, N=932026.070.931
OSCARFramework=PFL, k=19, N=932026.070.888
mSSRMFramework=PFL, k=19, N=932026.070.873
OSCARFramework=PFL, k=14, N=932026.070.853
mSSRMFramework=PFL, k=14, N=932026.070.841
mSSRMFramework=PFL, k=9, N=932026.070.782
OSCARFramework=PFL, k=9, N=932026.070.776
OSCARFramework=Historic, k=19, N=932026.070.396
OSCARFramework=Historic, k=14, N=932026.070.322
OSCARFramework=Historic, k=9, N=932026.070.269
SD-relaxationFramework=Historic, k=19, N=932026.070.254
SD-relaxationFramework=Historic, k=14, N=932026.070.245
mSSRMFramework=Historic, k=19, N=932026.070.237
mSSRMFramework=Historic, k=14, N=932026.070.234
SD-relaxationFramework=Historic, k=9, N=932026.070.198
mSSRMFramework=Historic, k=9, N=932026.070.167