fundData: Mutual Fund Returns
Description
A matrix of 500 rows (return scenarios) and 200 columns (mutual
funds). The elements in the matrix are weekly returns.format
A plain numeric matrix.source
Schumann, E. (2010) Essays on Practical Financial Optimisation,
(chapter 4), PhD thesis, University of Geneva.Details
The scenarios were created with a bootstrapping technique. The data set
is only meant to provide example data on which to test algorithms.References
Gilli, M., Maringer, D. and Schumann, E. (2011) Numerical Methods
and Optimization in Finance. Elsevier.
http://www.elsevierdirect.com/product.jsp?isbn=9780123756626