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Sparse Tangent Portfolio Optimization research benchmarks · SOTA2 Research

Sparse Tangent Portfolio Optimization

Benchmarks

Dataset NameSOTA MethodSort

Dataset NameSOTA methodMetricTrendResultsLast Updated

Nikkei225 (out-of-sample)

0.946Sharpe Ratio

21

Jul 2, 2026

KOSPI200 (out-of-sample)

2.098Sharpe Ratio

21

Jul 2, 2026

FTSE100 (out-of-sample)

1.142Sharpe Ratio

21

Jul 2, 2026

EuroStoxx50 (out-of-sample)

1.116Sharpe Ratio

21

Jul 2, 2026

Popular datasets

EuroStoxx50 FTSE100 KOSPI200 Nikkei225

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