Table 6 \(\beta\) Factor obtained by several algorithms on four data-sets with transaction costs.
From: Doubly elastic net regularized online portfolio optimization with transaction costs
Algorithms | NYSE(O) | NYSE(N) | TSE | MSCI | ||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
0 | 0.0025 | 0.005 | 0 | 0.0025 | 0.005 | 0 | 0.0025 | 0.005 | 0 | 0.0025 | 0.005 | |
BEST | 0.9169 | 0.9169 | 0.9169 | 0.8904 | 0.8904 | 0.8904 | 1.4552 | 1.4551 | 1.4551 | 0.4585 | 0.4585 | 0.4585 |
TCO1 | 1.2092 | 1.2428 | 1.1515 | 1.0799 | 1.0398 | 0.9972 | 1.4721 | 1.5109 | 1.5131 | 1.1279 | 1.0780 | 0.9270 |
TCO2 | 1.2781 | 1.3211 | 1.1964 | 1.1450 | 1.0935 | 1.0614 | 1.5308 | 1.5476 | 1.5499 | 1.1532 | 1.1601 | 1.1264 |
TCO-RMR | 1.2932 | 1.2952 | 1.2968 | 1.1472 | 1.1424 | 1.1372 | 1.5563 | 1.5529 | 1.5505 | 1.1703 | 1.1686 | 1.1675 |
TCO-GLR | 1.3623 | 1.3628 | 1.3643 | 1.1368 | 1.1340 | 1.1303 | 1.5832 | 1.5814 | 1.5792 | 1.2630 | 1.2654 | 1.2680 |
DENRPO1-PARM | 1.2354 | 1.2474 | 1.0851 | 1.0855 | 1.0492 | 0.9956 | 1.3099 | 1.5395 | 1.2146 | 1.1289 | 1.1202 | 0.9684 |
DENRPO1-OLMAR | 1.3124 | 1.3454 | 1.1309 | 1.1817 | 1.1848 | 1.0607 | 1.5291 | 1.5904 | 1.4146 | 1.1789 | 1.1297 | 1.0289 |
DENRPO1-RMR | 1.2950 | 1.3211 | 1.2473 | 1.1541 | 1.1318 | 1.1598 | 1.5847 | 1.6075 | 1.5542 | 1.1924 | 1.1747 | 1.1089 |
DENRPO1-GLR | 1.3462 | 1.3674 | 1.3916 | 1.1199 | 1.1329 | 1.1248 | 1.6837 | 1.6865 | 1.6147 | 1.2704 | 1.2624 | 1.2953 |
DENRPO2-PARM | 1.2354 | 1.2474 | 1.0852 | 1.0855 | 1.0492 | 0.9954 | 1.3099 | 1.5395 | 1.2146 | 1.1270 | 1.1231 | 0.9750 |
DENRPO2-OLMAR | 1.3125 | 1.3454 | 1.1310 | 1.1817 | 1.1849 | 1.0602 | 1.5291 | 1.5904 | 1.4139 | 1.1789 | 1.1297 | 1.0289 |
DENRPO2-RMR | 1.2950 | 1.3211 | 1.2473 | 1.1541 | 1.1318 | 1.1593 | 1.5846 | 1.6074 | 1.5545 | 1.1924 | 1.1747 | 1.1089 |
DENRPO2-GLR | 1.3462 | 1.3674 | 1.3916 | 1.1200 | 1.1331 | 1.1234 | 1.6837 | 1.6865 | 1.6151 | 1.2706 | 1.2629 | 1.2812 |
