Two-Stage Robust Optimization Model for Uncertainty Investment Portfolio Problems

Table 4

Sharpe ratio under different time window lengths.

Period (L/DAY)	30	Increase	60	Increase	90	Increase
Equal weight method	0.3510	0	0.3654	0	0.3789	0
TS-MIP model	0.5004	0.1494	0.5137	0.1483	0.5245	0.1456
TS-RO model	0.5407	0.1897	0.5546	0.1892	0.5719	0.1930