Research Article
An Improvement of Stochastic Gradient Descent Approach for Mean-Variance Portfolio Optimization Problem
Table 2
Optimal portfolio percentage.
| | Solution | Stock | Bond | MM |
| | Benchmark | 2.637097 | 10.226016 | 87.136887 | | SGD | 2.630398 | 10.244025 | 87.125477 | | Adam | 2.630400 | 10.244023 | 87.125478 | | AdaMax | 2.630646 | 10.243939 | 87.125515 | | Nadam | 2.630399 | 10.244023 | 87.125479 | | AMSGrad | 2.630400 | 10.244022 | 87.125479 | | AdamSE | 2.630361 | 10.244024 | 87.125707 |
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