| Dataset Name | SOTA Method | Metric | Trend | ||
|---|---|---|---|---|---|
| Noisy Portfolio Return Series | Predict-then-Optimize | MSE0.0224 | 35 | 4d ago | |
| Multivariate Return Series clean data (evaluation) | Predict-then-Optimize | MSE0.0245 | 35 | 4d ago | |
| S&P 500 constituents (test) | Average Loss-1.943 | 30 | 4d ago | ||
| Multi-period Portfolio Optimization | dXPP | Backward Latency (ms)1.71 | 25 | 4d ago | |
| FF100MEINV T=120 | mSSRM-PGA | Sharpe Ratio0.2293 | 13 | 3d ago | |
| FF100 T=120 | mSSRM-PGA | Sharpe Ratio0.2391 | 13 | 3d ago | |
| FF49 T=120 | Sharpe Ratio0.2057 | 13 | 3d ago | ||
| FF32 T=120 | mSSRM-PGA | Sharpe Ratio0.2592 | 13 | 3d ago | |
| FF25EU T=120 | Sharpe Ratio0.2796 | 13 | 3d ago | ||
| FF25 T=120 | mSSRM-PGA | Sharpe Ratio0.2474 | 13 | 3d ago | |
| FF49 T=60 | mSSRM-PGA | Sharpe Ratio0.2151 | 13 | 3d ago | |
| FF32 T=60 | mSSRM-PGA | Sharpe Ratio0.2615 | 13 | 3d ago | |
| FF25 T=60 | mSSRM-PGA | Sharpe Ratio0.2481 | 13 | 3d ago | |
| FF100MEINV (T=120) | mSSRM-PGA | Cumulative Wealth435.01 | 13 | 4d ago | |
| FF100 T=120 | mSSRM-PGA | Cumulative Wealth635.65 | 13 | 4d ago | |
| FF49 T=120 | Cumulative Wealth235.48 | 13 | 4d ago | ||
| FF32 T=120 | mSSRM-PGA | Cumulative Wealth928.19 | 13 | 4d ago | |
| FF25EU (T=120) | Cumulative Wealth148.19 | 13 | 4d ago | ||
| FF25 T=120 | mSSRM-PGA | Cumulative Wealth643.44 | 13 | 4d ago | |
| FF49 T=60 | mSSRM-PGA | Cumulative Wealth285.02 | 13 | 4d ago | |
| FF32 T=60 | mSSRM-PGA | Cumulative Wealth996.32 | 13 | 4d ago | |
| FF25EU (T=60) | Cumulative Wealth126.04 | 13 | 4d ago | ||
| FF25 (T=60) | mSSRM-PGA | Cumulative Wealth615.34 | 13 | 4d ago | |
| 15 financial assets (7-fold cross-val) | Sharpe Ratio0.8237 | 12 | 3d ago | ||
| FF100MEINV T=60 | mSSRM-PGA | Sharpe Ratio0.2234 | 12 | 3d ago |
