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ResearchFormerly WizWand

Sparse Tangent Portfolio Optimization on KOSPI200 (out-of-sample)

2.098Sharpe RatioDFL (Ours)
0.247840.728171.20851.68883Jul 1, 2026
Updated 4mo ago

Evaluation results

MethodLinks
DFL (Ours)Framework=DFL, k=32, N=1622026.072.098
DFL (Ours)Framework=DFL, k=24, N=1622026.072.03
DFL (Ours)Framework=DFL, k=16, N=1622026.071.958
SD-relaxationFramework=PFL, k=32, N=1622026.071.793
SD-relaxationFramework=PFL, k=24, N=1622026.071.684
mSSRMFramework=PFL, k=32, N=1622026.071.586
mSSRMFramework=PFL, k=24, N=1622026.071.491
mSSRMFramework=PFL, k=16, N=1622026.071.372
SD-relaxationFramework=PFL, k=16, N=1622026.071.182
OSCARFramework=PFL, k=32, N=1622026.070.935
OSCARFramework=PFL, k=24, N=1622026.070.918
OSCARFramework=PFL, k=16, N=1622026.070.887
SD-relaxationFramework=Historic, k=32, N=1622026.070.845
SD-relaxationFramework=Historic, k=24, N=1622026.070.814
SD-relaxationFramework=Historic, k=16, N=1622026.070.727
OSCARFramework=Historic, k=32, N=1622026.070.527
OSCARFramework=Historic, k=24, N=1622026.070.485
OSCARFramework=Historic, k=16, N=1622026.070.426
mSSRMFramework=Historic, k=24, N=1622026.070.332
mSSRMFramework=Historic, k=32, N=1622026.070.325
mSSRMFramework=Historic, k=16, N=1622026.070.319