Table 2 Strategies for prototype selection
Name | Strategy ID | Type | Description |
|---|---|---|---|
Sharpe ratio | Strategy 1 | Highest sharpe ratio | Cluster with the higher training portfolio sharpe ratio |
Risk-aversion criteria | Strategy 2a | Risk-averse | Cluster with the lower volatility-centroid values |
Strategy 2b | Risk-neutral | Cluster with average volatility-centroid values | |
Strategy 2c | Risk-seeking | Cluster with the higher volatility-centroid values |