Sparse Tangent Portfolio Optimization on KOSPI200 (out-of-sample)
2.098Sharpe RatioDFL (Ours)
Evaluation Results
| Method | Links | |
|---|---|---|
| DFL (Ours)Framework=DFL, k=32, N=1622026.07 | 2.098 | |
| DFL (Ours)Framework=DFL, k=24, N=1622026.07 | 2.03 | |
| DFL (Ours)Framework=DFL, k=16, N=1622026.07 | 1.958 | |
| SD-relaxationFramework=PFL, k=32, N=1622026.07 | 1.793 | |
| SD-relaxationFramework=PFL, k=24, N=1622026.07 | 1.684 | |
| mSSRMFramework=PFL, k=32, N=1622026.07 | 1.586 | |
| mSSRMFramework=PFL, k=24, N=1622026.07 | 1.491 | |
| mSSRMFramework=PFL, k=16, N=1622026.07 | 1.372 | |
| SD-relaxationFramework=PFL, k=16, N=1622026.07 | 1.182 | |
| OSCARFramework=PFL, k=32, N=1622026.07 | 0.935 | |
| OSCARFramework=PFL, k=24, N=1622026.07 | 0.918 | |
| OSCARFramework=PFL, k=16, N=1622026.07 | 0.887 | |
| SD-relaxationFramework=Historic, k=32, N=1622026.07 | 0.845 | |
| SD-relaxationFramework=Historic, k=24, N=1622026.07 | 0.814 | |
| SD-relaxationFramework=Historic, k=16, N=1622026.07 | 0.727 | |
| OSCARFramework=Historic, k=32, N=1622026.07 | 0.527 | |
| OSCARFramework=Historic, k=24, N=1622026.07 | 0.485 | |
| OSCARFramework=Historic, k=16, N=1622026.07 | 0.426 | |
| mSSRMFramework=Historic, k=24, N=1622026.07 | 0.332 | |
| mSSRMFramework=Historic, k=32, N=1622026.07 | 0.325 | |
| mSSRMFramework=Historic, k=16, N=1622026.07 | 0.319 |