*5.2. Experimental Settings*

In our experiment, we use the following portfolio models.


We use the first-half period, i.e., from January 1989 to December 2004, as the in-sample period in terms of deciding the hyper-parameters of each portfolio. After that, we use the second half-period, i.e., from January 2005 to June 2020, as the out-of-sample period. Each portfolio is updated by sliding one-month-ahead.
