Sparse Tangent Portfolio Optimization on FTSE100 (out-of-sample)
1.142Sharpe RatioSD-relaxation
Evaluation Results
| Method | Links | |
|---|---|---|
| SD-relaxationFramework=PFL, k=19, N=932026.07 | 1.142 | |
| SD-relaxationFramework=PFL, k=14, N=932026.07 | 1.073 | |
| DFL (Ours)Framework=DFL, k=19, N=932026.07 | 1.071 | |
| DFL (Ours)Framework=DFL, k=14, N=932026.07 | 1.049 | |
| DFL (Ours)Framework=DFL, k=9, N=932026.07 | 0.983 | |
| SD-relaxationFramework=PFL, k=9, N=932026.07 | 0.931 | |
| OSCARFramework=PFL, k=19, N=932026.07 | 0.888 | |
| mSSRMFramework=PFL, k=19, N=932026.07 | 0.873 | |
| OSCARFramework=PFL, k=14, N=932026.07 | 0.853 | |
| mSSRMFramework=PFL, k=14, N=932026.07 | 0.841 | |
| mSSRMFramework=PFL, k=9, N=932026.07 | 0.782 | |
| OSCARFramework=PFL, k=9, N=932026.07 | 0.776 | |
| OSCARFramework=Historic, k=19, N=932026.07 | 0.396 | |
| OSCARFramework=Historic, k=14, N=932026.07 | 0.322 | |
| OSCARFramework=Historic, k=9, N=932026.07 | 0.269 | |
| SD-relaxationFramework=Historic, k=19, N=932026.07 | 0.254 | |
| SD-relaxationFramework=Historic, k=14, N=932026.07 | 0.245 | |
| mSSRMFramework=Historic, k=19, N=932026.07 | 0.237 | |
| mSSRMFramework=Historic, k=14, N=932026.07 | 0.234 | |
| SD-relaxationFramework=Historic, k=9, N=932026.07 | 0.198 | |
| mSSRMFramework=Historic, k=9, N=932026.07 | 0.167 |