Francesco Cesarone
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Data sets for portfolio selection problems
- EuroStoxx50DS (.zip; 220 KB): 50 assets of the Eurostoxx50 Market Index from July 2005 to June 2014 (weekly frequency; source: Thomson Reuters Datastream);
- Eurostoxx50 (.zip; 140 KB): 32 assets of the Eurostoxx50 Market Index from January 2007 to May 2013 (weekly frequency; source: Yahoo Finance);
- FtseMib (.zip; 138 KB): 34 assets of the FtseMib Market Index from January 2007 to May 2013 (weekly frequency; source: Yahoo Finance);
- Ftse100 (.zip; 276 KB): 63 assets of the Ftse100 Market Index from January 2007 to May 2013 (weekly frequency; source: Yahoo Finance);
- other data sets previously available in the web page http://w3.uniroma1.it/Tardella/datasets.html used in F. Cesarone and F. Tardella (2016), "Equal Risk Bounding is better than Risk Parity for portfolio selection", in F. Cesarone, A. Scozzari, F. Tardella, (2014), " Linear vs. quadratic portfolio selection models with hard real-world constraints" and in F. Cesarone, A. Scozzari, F. Tardella (2012), " A new method for Mean-Variance portfolio optimization with cardinality constraints";
- description of the data sets used in F. Cesarone, and S. Colucci (2014), "Minimum Risk vs. Capital and Risk Diversification strategies for portfolio construction";
- Data sets (.zip; 8243 KB) used in A. Carleo, F. Cesarone, A. Gheno, J.M. Ricci (2017), "Approximating Exact Expected Utility via Portfolio Efficient Frontiers", Decisions in Economics and Finance (daily frequency; source: Thomson Reuters Datastream).