Research on regularized mean–variance portfolio selection strategy with modified Roy safety-first principle

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Table 2 Out-of-sample performance of portfolio strategies on 500 NYSE stocks of sub-sample periods

Portfolio selection strategy	SRatio (transaction costs)	SRatio	Risk reduction	Sparsity	Turnover
Panel A : results for January 2006 to December 2008
RSMt (17)	0.6891	0.6902	0.2115	165.1612	0.1517
RSMVt (18)	0.7111	0.7209	0.1801	188.6575	0.1783
minVu	−0.1523	0.1902	0.2561	500	0.4013
minVc	0.2042	0.2821	0.2393	500	0.4209
MV	−0.1745	0.1887	1.0000	500	4.1910
1/N	0.4084	0.4810	0.2710	500	0.3575
\(l_1\)-MV (Brodie et al. 2009)	0.41014	0.5131	0.2604	217.1435	0.3872
TMN (Tu and Zhou 2011)	−0.0158	0.3412	0.2573	500	0.4643
VD (Kirby and Ostdiek 2012)	0.3914	0.4710	0.2104	500	0.4510
Panel B : results for January 2009 to December 2011
RSMt (17)	1.2319	1.2783	0.0932	151.2341	0.0613
RSMVt (18)	1.3012	1.3114	0.0815	203.2533	0.0791
minVu	0.0985	0.4612	0.1044	500	0.2002
minVc	0.4202	0.5319	0.1012	500	0.2125
MV	0.0812	0.4104	1.0000	500	2.1234
1/N	0.7264	0.8041	0.1395	500	0.1453
\(l_1\)-MV (Brodie et al. 2009)	0.9011	0.9511	0.1391	326.5532	0.1877
TMN (Tu and Zhou 2011)	0.2216	0.6013	0.1091	500	0.2563
VD (Kirby and Ostdiek 2012)	0.8153	0.8921	0.0995	500	0.2418
Panel C : results for January 2012 to December 2015
RSMt (17)	1.3112	1.3205	0.0901	195.0186	0.0717
RSMVt (18)	1.3813	1.3984	0.0737	245.1227	0.0801
minVu	0.1120	0.4824	0.1018	500	0.2011
minVc	0.4413	0.5302	0.1006	500	0.2289
MV	0.1091	0.4591	1.0000	500	2.3914
1/N	0.7641	0.8321	0.1391	500	0.1465
\(l_1\)-MV (Brodie et al. 2009)	0.9403	0.9821	0.1294	267.8271	0.1903
TMN (Tu and Zhou 2011)	0.2426	0.63841	0.1067	500	0.2613
VD (Kirby and Ostdiek 2012)	0.8534	0.9010	0.0945	500	0.2485