PortfolioExampleData: Example Portfolio Example Data Sets

Description

A collection and description of example data sets from different sources. The data include time series of assets and/or their mean/covariance estimates. The data sets are: ll{ dutchPortfolioData Mean-Cov matrix from Dutch stock index AEX, usPortfolioData a time series of US Assets, sm132PortfolioData Mean-Cov matrix from Scherer and Martin, sm132PortfolioData World Index Returns from D. Locher. }

Usage

dutchPortfolioData() 
usPortfolioData()
sm132PortfolioData()
worldIndexData()

Arguments

Value

dutchPortfolioData returns a list of the covariance matrix and the return means. dutchPortfolioData returns a timeSeries object of yearly returns. dutchPortfolioData returns a list of covariance matrix and the return means. worldIndexData returns a timeSeries object of daily returns.

Details

Dutch Portfolio Data Set: This data represents seven stocks from the Dutch AEX index, Netherlands blue chips. The data is a list of the covariance matrix and the return means and is based on daily returns over a period from January 1990 till end of October 2003. Companies representing the data are Elsevier, Fortis, Getronics, Heineken, Philips, Shell and Unilever. US Portfolio Data Set: The data inherits eight assets being indexes, commodities and bonds. The data is a time series of yearly returns from December 1973 till December 1994. Assets are TBills3m, LongBonds, SP500, Wilshire5000, NASDAQComp, LehmanBonds, EAFE, Gold. Simulated Mean-Cov Data Set: This data is taken from chapter 1.3.2 in Scherer, M., Martin, R.D. (2005); Introduction To Modern Portfolio Optimization with NuOPT, S-PLUS and S+Bayes, Springer, Berlin. It is a list of covariance matrix and the return means of imaginary assets. It is an example set for learning about optimization. World Index Returns Data Set: This data set is contributed by D. Locher (2007); It is a timeSeries object of four world index return data sets including Asia, Eastern Europe, Far East and Latin America.

References

Scherer, M., Martin, R.D. (2005); Introduction To Modern Portfolio Optimization with NuOPT, S-PLUS and S+Bayes, Springer, Berlin

Examples

Run this code

## usPortfolioData -
   usPortfolioData()
      
## dutchPortfolioData -
   x = dutchPortfolioData()
   x

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