Table 7 Mean, standard deviation (Std), median, minimum (Min) and maximum (Max) values of the performance metrics for the compared algorithms for the Mean-SV portfolio optimization problem

DowJones

Mean

0.0064

0.0023

0.0069

0.0034

0.8197

0.6101

0.8047

0.5773

0.4081

0.4695

0.4021

0.3377

0.8638

0.9859

0.8531

1.1709

Median

0.0057

0.0025

0.0061

0.0031

0.8155

0.5627

0.8076

0.5780

0.4121

0.3381

0.3976

0.3377

0.8619

1.1702

0.8467

1.1709

Std

0.0019

0.0009

0.0021

0.0011

0.0285

0.1424

0.0302

0.0131

0.0203

0.2699

0.0229

0.0002

0.0393

0.3800

0.0489

0.0001

Min

0.0041

0.0000

0.0038

0.0029

0.7669

0.5437

0.7452

0.5564

0.3683

0.3375

0.3603

0.3374

0.7963

0.1725

0.7953

1.1707

Max

0.0113

0.0033

0.0116

0.0080

0.8765

1.0000

0.8622

0.6087

0.4439

0.9994

0.4425

0.3383

0.9405

1.1704

0.9763

1.1710

FF49Industries

Mean

0.0086

0.0023

0.0089

0.0035

0.7854

0.6003

0.7960

0.6165

0.6558

0.4767

0.6534

0.4765

0.5578

1.0536

0.5555

1.0538

Median

0.0083

0.0023

0.0085

0.0035

0.7811

0.6008

0.8004

0.6173

0.6575

0.4767

0.6554

0.4763

0.5574

1.0536

0.5509

1.0538

Std

0.0015

0.0002

0.0018

0.0003

0.0175

0.0117

0.0264

0.0112

0.0178

0.0003

0.0183

0.0004

0.0136

0.0002

0.0097

0.0003

Min

0.0068

0.0020

0.0060

0.0029

0.7540

0.5828

0.7564

0.5946

0.6208

0.4761

0.6147

0.4759

0.5372

1.0534

0.5410

1.0531

Max

0.0128

0.0029

0.0131

0.0042

0.8265

0.6220

0.8513

0.6409

0.6837

0.4774

0.6778

0.4771

0.5911

1.0540

0.5763

1.0542

NASDAQ100

Mean

0.0039

0.0027

0.0040

0.0036

0.8822

0.5199

0.8797

0.5888

0.7326

0.2589

0.7330

0.2588

0.4321

1.2061

0.4311

1.2062

Median

0.0037

0.0026

0.0039

0.0035

0.8822

0.5226

0.8807

0.5865

0.7338

0.2590

0.7344

0.2588

0.4270

1.2061

0.4297

1.2062

Std

0.0009

0.0005

0.0008

0.0004

0.0110

0.0204

0.0085

0.0175

0.0151

0.0006

0.0121

0.0005

0.0175

0.0004

0.0248

0.0003

Min

0.0026

0.0019

0.0027

0.0030

0.8633

0.4904

0.8652

0.5620

0.7021

0.2579

0.7091

0.2581

0.4118

1.2051

0.3986

1.2057

Max

0.0057

0.0039

0.0057

0.0046

0.8999

0.5507

0.8992

0.6220

0.7536

0.2599

0.7541

0.2599

0.4720

1.2066

0.4793

1.2067

SP500

Mean

0.0016

0.0048

0.0015

0.0041

0.9547

0.6605

0.9551

0.6318

1.0134

0.2787

1.0135

0.2761

0.1481

1.1828

0.1468

1.1953

Median

0.0015

0.0047

0.0015

0.0039

0.9547

0.6738

0.9550

0.6289

1.0134

0.2788

1.0135

0.2760

0.1467

1.1830

0.1440

1.1960

Std

0.0003

0.0015

0.0003

0.0008

0.0049

0.0418

0.0046

0.0237

0.0052

0.0013

0.0053

0.0011

0.0057

0.0060

0.0062

0.0025

Min

0.0011

0.0025

0.0011

0.0032

0.9459

0.5706

0.9471

0.5942

1.0027

0.2757

1.0025

0.2743

0.1418

1.1727

0.1399

1.1885

Max

0.0024

0.0077

0.0019

0.0065

0.9643

0.7284

0.9654

0.7074

1.0211

0.2815

1.0217

0.2795

0.1616

1.1917

0.1609

1.1981

NASDAQComp

Mean

0.0010

0.0045

0.0009

0.0089

0.9714

0.7839

0.9711

0.8766

1.1084

0.2070

1.1085

0.2012

0.0499

1.2214

0.0492

1.2472

Median

0.0010

0.0036

0.0009

0.0057

0.9721

0.7862

0.9703

0.8578

1.1098

0.2045

1.1099

0.1970

0.0488

1.2219

0.0481

1.2509

Std

0.0002

0.0019

0.0002

0.0079

0.0020

0.0596

0.0027

0.1232

0.0033

0.0133

0.0033

0.0127

0.0034

0.0133

0.0037

0.0123

Min

0.0007

0.0030

0.0007

0.0025

0.9678

0.6011

0.9654

0.6346

1.1013

0.1991

1.1013

0.1922

0.0464

1.1886

0.0452

1.2132

Max

0.0014

0.0107

0.0013

0.0361

0.9740

0.8741

0.9769

1.1636

1.1128

0.2607

1.1129

0.2458

0.0570

1.2395

0.0571

1.2579