Table 5 Values of coefficient α and the Sharpe ratio for different λ
From: Research on a stock-matching trading strategy based on bi-objective optimization
λ = 0 | λ = 0.1 | λ = 0.2 | λ = 0.3 | λ = 0.4 | λ = 0.5 | λ = 0.6 | λ = 0.7 | |
|---|---|---|---|---|---|---|---|---|
Coefficient α | −0.113 | −0.076 | − 0.070 | −0.112 | − 0.099 | −0.062 | − 0.101 | −0.139 |
Sharpe ratio | −3.268 | −2.191 | −1.833 | −2.294 | −1.913 | − 1.683 | − 2.243 | −2.747 |