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ResearchFormerly WizWand

Sparse Tangent Portfolio Optimization on Nikkei225 (out-of-sample)

0.946Sharpe RatioDFL (Ours)
0.168080.370040.5720.77396Jul 1, 2026
Updated 4mo ago

Evaluation results

MethodLinks
DFL (Ours)Framework=DFL, k=42, N=2082026.070.946
SD-relaxationFramework=PFL, k=42, N=2082026.070.886
DFL (Ours)Framework=DFL, k=31, N=2082026.070.878
DFL (Ours)Framework=DFL, k=21, N=2082026.070.862
SD-relaxationFramework=PFL, k=31, N=2082026.070.812
SD-relaxationFramework=PFL, k=21, N=2082026.070.743
mSSRMFramework=PFL, k=42, N=2082026.070.721
mSSRMFramework=PFL, k=31, N=2082026.070.662
OSCARFramework=PFL, k=42, N=2082026.070.649
OSCARFramework=PFL, k=31, N=2082026.070.62
mSSRMFramework=PFL, k=21, N=2082026.070.614
OSCARFramework=PFL, k=21, N=2082026.070.567
OSCARFramework=Historic, k=42, N=2082026.070.295
OSCARFramework=Historic, k=31, N=2082026.070.284
mSSRMFramework=Historic, k=42, N=2082026.070.28
mSSRMFramework=Historic, k=31, N=2082026.070.276
mSSRMFramework=Historic, k=21, N=2082026.070.273
OSCARFramework=Historic, k=21, N=2082026.070.258
SD-relaxationFramework=Historic, k=42, N=2082026.070.248
SD-relaxationFramework=Historic, k=31, N=2082026.070.243
SD-relaxationFramework=Historic, k=21, N=2082026.070.198