Table 2.

Minimum objective and optimal solutions for mean-variance portfolio optimization (MVPO) and return-entropy portfolio optimization (REPO) methods.

Method	Minimum Objective	Expected Return	Optimal Solution
MVPO	3.3993 bps${}^2$	0.1394 bps	(0.3,0.0,0.2,0.1,0.0,0.0,0.1,0.3,0.0,0.0)
REPO	1.9355 nats	0.1630 bps	(0.2,0.0,0.2,0.1,0.1,0.0,0.1,0.3,0.0,0.0)