FRAPO (version 0.4-1)

SP500: Standard & Poor's 500

Description

Weekly price data of 476 S&P 500 constituents.

Usage

data(SP500)

Format

A data frame with 265 weekly observations of 476 members of the S&P 500 index. The sample starts at 2003-03-03 and ends in 2008-03-24.

Source

http://host.uniroma3.it/docenti/cesarone/DataSets.htm http://finance.yahoo.com/

Details

The data set was used in the reference below. The authors adjusted the price data for dividends and have removed stocks if two or more consecutive missing values were found. In the remaining cases the NA entries have been replaced by interpolated values.

References

Cesarone, F. and Scozzari, A. and Tardella, F.: Portfolio selection problems in practice: a comparison between linear and quadratic optimization models, Working Paper, Universita degli Studi Roma Tre, Universita Telematica delle Scienze Umane and Universita di Roma, July 2010. http://arxiv.org/ftp/arxiv/papers/1105/1105.3594.pdf

Examples

data(SP500)