Description

A matrix of 500 rows (return scenarios) and 200 columns (mutual funds). The elements in the matrix are weekly returns.

Usage

Format

A plain numeric matrix.

Details

The scenarios were created with a bootstrapping technique. The data set is only meant to provide example data on which to test algorithms.

Source

Schumann, E. (2010) Essays on Practical Financial Optimisation, (chapter 4), PhD thesis, University of Geneva.

References

Gilli, M., Maringer, D. and Schumann, E. (2019) Numerical Methods and Optimization in Finance. 2nd edition. Elsevier. https://www.elsevier.com/books/numerical-methods-and-optimization-in-finance/gilli/978-0-12-815065-8

Schumann, E. (2019) Financial Optimisation with R (NMOF Manual). http://enricoschumann.net/NMOF.htm#NMOFmanual

Examples