sp100w17av30s

scenario.set

<p>A sceario 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

sp100w17av30s function

<p>A named matrix scenario.set with 251 rows and 30 columns.</p>

sp100w17av30s: S&P 100 weekly stock returns 2017 of 30 stocks with the highest average trading volume over the whole year

Description

Usage

Arguments

Format