Sparse Tangent Portfolio Optimization on Nikkei225 (out-of-sample)
0.946Sharpe RatioDFL (Ours)
Evaluation Results
| Method | Links | |
|---|---|---|
| DFL (Ours)Framework=DFL, k=42, N=2082026.07 | 0.946 | |
| SD-relaxationFramework=PFL, k=42, N=2082026.07 | 0.886 | |
| DFL (Ours)Framework=DFL, k=31, N=2082026.07 | 0.878 | |
| DFL (Ours)Framework=DFL, k=21, N=2082026.07 | 0.862 | |
| SD-relaxationFramework=PFL, k=31, N=2082026.07 | 0.812 | |
| SD-relaxationFramework=PFL, k=21, N=2082026.07 | 0.743 | |
| mSSRMFramework=PFL, k=42, N=2082026.07 | 0.721 | |
| mSSRMFramework=PFL, k=31, N=2082026.07 | 0.662 | |
| OSCARFramework=PFL, k=42, N=2082026.07 | 0.649 | |
| OSCARFramework=PFL, k=31, N=2082026.07 | 0.62 | |
| mSSRMFramework=PFL, k=21, N=2082026.07 | 0.614 | |
| OSCARFramework=PFL, k=21, N=2082026.07 | 0.567 | |
| OSCARFramework=Historic, k=42, N=2082026.07 | 0.295 | |
| OSCARFramework=Historic, k=31, N=2082026.07 | 0.284 | |
| mSSRMFramework=Historic, k=42, N=2082026.07 | 0.28 | |
| mSSRMFramework=Historic, k=31, N=2082026.07 | 0.276 | |
| mSSRMFramework=Historic, k=21, N=2082026.07 | 0.273 | |
| OSCARFramework=Historic, k=21, N=2082026.07 | 0.258 | |
| SD-relaxationFramework=Historic, k=42, N=2082026.07 | 0.248 | |
| SD-relaxationFramework=Historic, k=31, N=2082026.07 | 0.243 | |
| SD-relaxationFramework=Historic, k=21, N=2082026.07 | 0.198 |