期刊
DATA IN BRIEF
卷 8, 期 -, 页码 858-862出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.dib.2016.06.031
关键词
-
资金
- Spanish Ministry of Science and Technology [MTM2013-46962-C2-1-P]
A large number of portfolio selection models have appeared in the literature since the pioneering work of Markowitz. However, even when computational and empirical results are described, they are often hard to replicate and compare due to the unavailability of the datasets used in the experiments. We provide here several datasets for portfolio selection generated using real -world price values from several major stock markets. The datasets contain weekly return values, adjusted for dividends and for stock splits, which are cleaned from errors as much as possible. The datasets are available in different formats, and can be used as benchmarks for testing the performances of portfolio selection models and for comparing the efficiency of the algorithms used to solve them. We also provide, for these datasets, the portfolios obtained by several selection strategies based on Stochastic Dominance models (see On Exact and Approximate Stochastic Dominance Strategies for Portfolio Selection (Bruni et al. [2])). We believe that testing portfolio models on publicly available datasets greatly simplifies the comparison of the different portfolio selection strategies. (C) 2016 The Authors. Published by Elsevier Inc. This is an open access article under the CC BY license.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据