A Closer Look at the Minimum-Variance Portfolio Optimization Model

Table 4

Test results of the -regularization minimum-variance portfolio model.

τ	Optimal portfolios										Profit
0	−0.0484	0.1161	−0.0095	0.2122	0.5489	0.0130	0.2007	0.0089	−0.0012	−0.0408	0.0136
	−0.0296	0.0932	0.0000	0.2078	0.5510	0.0123	0.1829	0.0028	−0.0008	−0.0196	0.0162
	0.0000	0.0684	0.0000	0.2037	0.5530	0.0116	0.1633	0.0000	0.0000	0.0000	0.0157
	0.0000	0.0684	0.0000	0.2037	0.5530	0.0116	0.1633	0.0000	0.0000	0.0000	0.0157