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

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Table 3 Out-of-sample performance of portfolio strategies for 2009–2015

Portfolio selection strategy	SRatio (transaction costs)	SRatio	Risk reduction	Sparsity	Turnover
Results for January 2009 to December 2015
RSMt (17)	0.8912	0.9111	0.1521	175.5103	0.9859
RSMVt (18)	0.9577	0.9610	0.1112	228.3181	0.8113
minVu	0.0698	0.2413	0.1742	500	1.1612
minVc	0.2408	0.2958	0.1663	500	1.6209
MV	0.0451	0.1959	1.0000	500	7.3224
1/N	0.5514	0.5911	0.1977	500	0.9418
\(l_1\)-MV (Brodie et al. 2009)	0.6899	0.7094	0.1790	254.8511	0.9958
TMN (Tu and Zhou 2011)	0.1354	0.2985	0.1551	500	1.4705
VD (Kirby and Ostdiek 2012)	0.4544	0.5871	0.1605	500	1.2403