INDTRACK4:
INDTRACK4: S&P 100 Index and Constituents
Description
Weekly price data of S&P 100 index and 98 constituents.
Format
A data frame with 291 weekly observations of the index 98 members of
the S&P 100 index. The sample starts in March 1991 and ends in
September 1997.Details
The data set was used in the first two references below. Stocks with
missing values during the sample period have been discarded. The data
was downloaded from DATASTREAM and has been anonymized. The first
columne refers to the index data itself. See the attached
license file that is part of this package: ‘BeasleyLicence’.
References
Canakgoz, N.A. and J.E. Beasley (2008), Mixed-integer programming
approaches for index tracking and enhanced indexation, European
Journal of Operational Research, Vol. 196, 384--399.
Beasley, J.E. and N. Meade and T.-J. Chang (2003), An evolutionary
heuristic for the index tracking problem, European Journal of
Operational Research, Vol. 148, 621--643.
Beasley, J. E. (1990), OR-Library: Distributing Test Problems by
Electronic Mail, Journal of the Operational Research Society,
Vol. 41, No. 11, 1069--1072.