Weekly price data of the Hang Seng index and 31 constituents.
A data frame with 291 weekly observations of the index and 31 members of the Hang Seng index. The sample starts in March 1991 and ends in September 1997.
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’.
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.
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