Table 1 Cumulative wealth achieved by DENRPO1-OLMAR about different permutations and combinations of \(\eta\) and \(\tau\) with transaction costs rates is 0.5%.
From: Doubly elastic net regularized online portfolio optimization with transaction costs
\(\eta\) | \(\tau\): NYSE(O) | \(\tau\): NYSE(N) | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
0 | 0.000025 | 0.00005 | 0.00025 | 0.0005 | 0.0025 | 0 | 0.000025 | 0.00005 | 0.00025 | 0.0005 | 0.0025 | |
0 | 5.97E+04 | 5.98E+04 | 5.97E+04 | 5.81E+04 | 5.15E+04 | 4.65E+04 | 763.70 | 763.70 | 772.93 | 879.00 | 913.13 | 1139.95 |
0.0001 | 5.97E+04 | 5.98E+04 | 6.04E+04 | 6.07E+04 | 5.40E+04 | 4.93E+04 | 958.02 | 946.80 | 937.77 | 893.85 | 885.40 | 1134.85 |
0.00025 | 6.55E+04 | 6.57E+04 | 6.59E+04 | 6.22E+04 | 5.15E+04 | 5.41E+04 | 926.93 | 908.29 | 893.22 | 851.52 | 863.37 | 1125.12 |
0.0005 | 5.95E+04 | 5.92E+04 | 5.89E+04 | 5.56E+04 | 5.11E+04 | 6.09E+04 | 799.16 | 798.30 | 798.24 | 830.95 | 970.20 | 1101.40 |
0.001 | 4.91E+04 | 4.94E+04 | 4.96E+04 | 5.37E+04 | 5.57E+04 | 6.47E+04 | 1084.07 | 1083.87 | 1084.05 | 1091.84 | 1125.76 | 1025.02 |
0.0025 | 7.33E+04 | 7.32E+04 | 7.32E+04 | 7.21E+04 | 6.95E+04 | 5.45E+04 | 850.13 | 849.59 | 849.03 | 857.17 | 877.98 | 944.05 |
\(\eta\) | \(\tau\): TSE | \(\tau\): MSCI | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
0 | 0.000025 | 0.00005 | 0.00025 | 0.0005 | 0.0025 | 0 | 0.000025 | 0.00005 | 0.00025 | 0.0005 | 0.0025 | |
0 | 1.47 | 1.47 | 1.47 | 1.48 | 1.51 | 2.25 | 0.90 | 0.90 | 0.90 | 0.90 | 0.93 | 0.97 |
0.0001 | 1.50 | 1.50 | 1.50 | 1.50 | 1.55 | 2.20 | 0.90 | 0.90 | 0.90 | 0.93 | 0.95 | 0.97 |
0.00025 | 1.53 | 1.53 | 1.53 | 1.56 | 1.63 | 2.12 | 0.96 | 0.96 | 0.96 | 0.97 | 0.97 | 0.98 |
0.0005 | 1.65 | 1.67 | 1.69 | 1.76 | 1.76 | 1.99 | 1.01 | 1.01 | 1.01 | 1.00 | 0.99 | 0.98 |
0.001 | 1.72 | 1.72 | 1.71 | 1.67 | 1.65 | 1.82 | 1.03 | 1.03 | 1.03 | 1.02 | 1.01 | 0.99 |
0.0025 | 1.27 | 1.27 | 1.27 | 1.28 | 1.29 | 1.51 | 1.05 | 1.05 | 1.05 | 1.04 | 1.04 | 1.01 |
