INDTRACK5: INDTRACK5: Nikkei 225 Index and Constituents

In FRAPO: Financial Risk Modelling and Portfolio Optimisation with R

Description

Weekly price data of Nikkei 225 index and 225 constituents.

Usage

data(INDTRACK5)

Format

A data frame with 291 weekly observations of the index and 225 members of the Nikkei 225 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’.

Source

http://people.brunel.ac.uk/~mastjjb/jeb/info.html
http://people.brunel.ac.uk/~mastjjb/jeb/orlib/legal.html

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. (1990), OR-Library: Distributing Test Problems by Electronic Mail, Journal of the Operational Research Society, Vol. 41, No. 11, 1069–1072.

Examples

data(INDTRACK5)

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