Robust International Portfolio Optimization with Worst-Case Mean-LPM

Table 3

Realized performances of models RIML, , SIML, and EW according to various performance measures when .

	Mean	Sharpe ratio	Downside Sharpe	UP ratio	Mean/VaR	Mean/CVaR	Cumulative return
RIML	0.001705	0.059488	0.058076	0.514327	0.037829	0.001223	3.351051
	0.001370	0. (0.022363)	0.046309	0.509334	0.029937	0.000975	2.504079
SIML	0.001348	0. (0.016264)	0.045297	0.506573	0.029458	0.000949	2.359805
EW	0.000742	0. (0.049575)	0.027876	0.470055	0.019598	0.000605	1.826263