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Papers Benchmarks Datasets Tasks

Portfolio Optimization research benchmarks · SOTA2 Research

Portfolio Optimization

Benchmarks

Dataset NameSOTA MethodSort

Dataset NameSOTA methodMetricTrendResultsLast Updated

Noisy Portfolio Return Series

Predict-then-Optimize

0.022MSE

35

Feb 26, 2026

Multivariate Return Series clean data (evaluation)

Predict-then-Optimize

0.025MSE

35

Feb 26, 2026

Portfolio Degree 2, 4, 6, 8 (test)

3.59Average Relative Regret

32

Mar 4, 2026

S&P 500 constituents (test)

-1.943Average Loss

30

Feb 26, 2026

Multi-period Portfolio Optimization

1.71Backward Latency (ms)

25

Feb 26, 2026

Portfolio optimization Degree 7 (test)

45Normalized Regret

20

Jun 19, 2026

Portfolio optimization Degree 3 (test)

80Normalized Regret

20

Jun 19, 2026

Portfolio optimization Degree 1 (test)

85Normalized Testing Set Regret

20

Jun 19, 2026

FF100MEINV T=120

0.229Sharpe Ratio

13

Feb 26, 2026

0.239Sharpe Ratio

13

Feb 26, 2026

0.206Sharpe Ratio

13

Feb 26, 2026

0.259Sharpe Ratio

13

Feb 26, 2026

0.28Sharpe Ratio

13

Feb 26, 2026

0.247Sharpe Ratio

13

Feb 26, 2026

0.215Sharpe Ratio

13

Feb 26, 2026

0.262Sharpe Ratio

13

Feb 26, 2026

0.248Sharpe Ratio

13

Feb 26, 2026

FF100MEINV (T=120)

435.01Cumulative Wealth

13

Feb 26, 2026

635.65Cumulative Wealth

13

Feb 26, 2026

235.48Cumulative Wealth

13

Feb 26, 2026

928.19Cumulative Wealth

13

Feb 26, 2026

148.19Cumulative Wealth

13

Feb 26, 2026

643.44Cumulative Wealth

13

Feb 26, 2026

285.02Cumulative Wealth

13

Feb 26, 2026

996.32Cumulative Wealth

13

Feb 26, 2026

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