sp500: S&P 500

In benSepanski/PortfolioSelection: Test and develop portfolio selection algorithms

Description

Selected S&P 500 prices from 1998 to 2003 Downloaded by Ben Sepanski

Usage

sp500

Format

A data frame with 1276 rows and 25 variables. Each entry is a price relative: if a stock has price p_t at trading period t, it has price relative \frac{p_t}{p_{t-1}} at trading period t. Each variable name is one of the following stocks:

• General Electric Company

• Microsoft Corporation

• Wal-Mart Stores,

• Exxon Mobil Corporation

• Pfizer Inc

• Citigroup Inc.

• Johnson & Johnson

• American International Group

• International Business Machines Corporation

• Merck & Co., Inc.

• Procter & Gamble Company

• Intel Corporation

• Bank of America Corporation

• Coca-Cola Company

• Cisco Systems, Inc.

• Verizon Communications Inc.

• Wells Fargo & Company

• Amgen Inc.

• Dell Computer Corporation

• PepsiCo, Inc.

• SBC Communications Inc.

• Fannie Mae S&P

• ChevronTexaco Corporation

• Viacom Inc'b'

• Eli Lilly and Company

Details

Market:

Standard & Poor's 500

Number of stocks

25

Number of days

1276

Number of years

5

Period

Jan 2, 1998 to Jan 31, 2003

Other Info

25 largest market cap stocks in the SP500 index (as of Apr 2003). Source: MSN Money

Source

http://www.cs.technion.ac.il/~rani/portfolios/portfolios.htm

benSepanski/PortfolioSelection documentation built on March 20, 2020, 9:46 p.m.