lambda = (-0.015, 0.100) | lambda = (-0.012, 0.120) | lambda = (-0.012, 0.140) | lambda = (0.012, -0.140) | lambda = (0.012, -0.120) | lambda = (0.015,-0.100) | ||
P/D sd(P/D) R sd(R) rf sd(rf) ep corr(x,R) Sharpe | 24.00 3.26 6.74 11.77 4.50 8.18 2.24 0.33 0.19 | 22.10 2.37 6.87 9.59 5.36 5.84 1.51 0.41 0.16 | 21.96 2.27 6.87 9.28 5.53 5.19 1.34 0.42 0.14 | 6.83 1.15 18.25 16.58 20.86 26.22 -2.61 0.23 -0.16 | 8.20 1.33 15.50 15.24 18.14 22.35 -2.63 0.24 -0.17 | 7.55 1.55 17.34 19.13 19.42 26.00 -2.08 0.19 -0.11 |