sp100w17

<p>A dataset sp100w17 containing the (crude) weekly returns of (almost) all 
S&amp;P 100 stocks of 2017, daily basis (101 stocks, 251 returns).</p>

datasets

Simplify your portfolio optimization process by applying a contemporary modeling way to model and solve your portfolio problems. While most approaches and packages are rather complicated this one tries to simplify things and is agnostic regarding risk measures as well as optimization solvers. Some of the methods implemented are described by Konno and Yamazaki (1991) <doi:10.1287/mnsc.37.5.519>, Rockafellar and Uryasev (2001) <doi:10.21314/JOR.2000.038> and Markowitz (1952) <doi:10.1111/j.1540-6261.1952.tb01525.x>.

Ronald Hochreiter

portfolio.optimization

Contemporary Portfolio Optimization

sp100w17 function

<p>One xts time series object with 251 rows and 101 columns.</p>

sp100w17: S&P 100 weekly stock returns 2017

Description

Usage

Arguments

Format

Details