sp500

This data set provides all components of the SP500 that are
  complete within the date range [2008-03-07, 2009-03-04] with returns suitable
  for running against the portfolio optimization routines.
  Note that the date range may periodically be updated to reflect current dates.

datasets

Portfolio optimization typically requires an estimate of a
        covariance matrix of asset returns. There are many approaches
        for constructing such a covariance matrix, some using the
        sample covariance matrix as a starting point. This package
        provides implementations for two such methods: random matrix
        theory and shrinkage estimation. Each method attempts to clean
        or remove noise related to the sampling process from the sample
        covariance matrix.

Brian Lee Yung Rowe

tawny

sp500: A (mostly complete) subset of the SP500 with 250 data points

Description

Usage

Arguments

format

source