Spectral Risk Optimisation on DGP2
35,696Median DifferenceACFS
Evaluation results
| Method | Links | |||||||
|---|---|---|---|---|---|---|---|---|
| ACFSλ=0.90, Competitor=GP-BO2026.03 | 35,696 | 63,877 | 0.001 | 0.584 | 73 | — | — | |
| ACFSλ=0.50, Competitor=CEM-SO2026.03 | 41,574 | 58,677 | 0.001 | 0.747 | 76 | — | — | |
| ACFSλ=0.70, Competitor=GP-BO2026.03 | 44,083 | 61,563 | 0.001 | 0.485 | 64 | — | — | |
| ACFSλ=0.50, Competitor=GP-BO2026.03 | 49,703 | 79,339 | 0.001 | 0.767 | 76 | — | — | |
| ACFSλ=0.70, Competitor=CEM-SO2026.03 | 58,396 | 81,854 | 0.001 | 0.773 | 81 | — | — | |
| ACFSλ=0.90, Competitor=CEM-SO2026.03 | 65,491 | 83,800 | 0.001 | 0.715 | 82 | — | — | |
| ACFSλ=0.50, Competitor=SGD-CVaR2026.03 | 116,912 | 141,963 | 0.001 | 0.954 | 90 | — | — | |
| ACFSλ=0.70, Competitor=SGD-CVaR2026.03 | 127,607 | 155,278 | 0.001 | 0.965 | 92 | — | — | |
| ACFSλ=0.90, Competitor=SGD-CVaR2026.03 | 128,357 | 198,495 | 0.001 | 0.939 | 92 | — | — | |
| ACFSλ=0.50, Competitor=KDE-SO2026.03 | 186,015 | 226,779 | 0.001 | 0.997 | 99 | — | — | |
| ACFSλ=0.70, Competitor=KDE-SO2026.03 | 244,978 | 298,211 | 0.001 | 0.983 | 94 | — | — | |
| ACFSlambda=0.502026.03 | 268,105 | — | — | — | — | 32,497 | 0 | |
| ACFSλ=0.90, Competitor=KDE-SO2026.03 | 279,486 | 334,318 | 0.001 | 0.983 | 97 | — | — | |
| CEM-SOlambda=0.502026.03 | 308,239 | — | — | — | — | 43,238 | 14.97 | |
| GP-BOlambda=0.502026.03 | 321,585 | — | — | — | — | 63,980 | 19.95 | |
| ACFSlambda=0.702026.03 | 349,167 | — | — | — | — | 43,925 | 0 | |
| GP-BOlambda=0.702026.03 | 370,213 | — | — | — | — | 72,320 | 6.03 | |
| SGD-CVaRlambda=0.502026.03 | 378,008 | — | — | — | — | 274,958 | 40.99 | |
| CEM-SOlambda=0.702026.03 | 398,135 | — | — | — | — | 60,689 | 14.02 | |
| ACFSlambda=0.902026.03 | 417,761 | — | — | — | — | 58,634 | 0 | |
| KDE-SOlambda=0.502026.03 | 432,431 | — | — | — | — | 925,061 | 61.29 | |
| GP-BOlambda=0.902026.03 | 466,859 | — | — | — | — | 108,800 | 11.75 | |
| SGD-CVaRlambda=0.702026.03 | 469,846 | — | — | — | — | 123,283 | 34.56 | |
| CEM-SOlambda=0.902026.03 | 482,813 | — | — | — | — | 78,704 | 15.57 | |
| SGD-CVaRlambda=0.902026.03 | 569,724 | — | — | — | — | 188,902 | 36.38 | |
| KDE-SOlambda=0.702026.03 | 580,007 | — | — | — | — | 981,140 | 66.11 | |
| KDE-SOlambda=0.902026.03 | 716,947 | — | — | — | — | 1,890,284 | 71.62 |