INDTRACK4: INDTRACK4: S&P 100 Index and Constituents

Description Usage Format Details Source References Examples


Weekly price data of S&P 100 index and 98 constituents.




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.


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.



Example output

Loading required package: cccp
Loading required package: Rglpk
Loading required package: slam
Using the GLPK callable library version 4.52
Loading required package: timeSeries
Loading required package: timeDate
Financial Risk Modelling and Portfolio Optimisation with R (version 0.4-1)

FRAPO documentation built on May 2, 2019, 6:33 a.m.

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