R/sp500.R

In benSepanski/PortfolioSelection: Test and develop portfolio selection algorithms

#' S&P 500
#'
#' Selected S&P 500 prices from 1998 to 2003
#' Downloaded by Ben Sepanski
#'
#' \describe{
#'   \item{Market:}{Standard & Poor's 500}
#'   \item{Number of stocks}{25}
#'   \item{Number of days}{1276}
#'   \item{Number of years}{5}
#'   \item{Period}{Jan 2, 1998 to Jan 31, 2003}
#'   \item{Other Info}{25 largest market cap stocks in the SP500
#'                     index (as of Apr 2003). Source: MSN Money}
#' }
#'
#' @format A data frame with 1276 rows and 25 variables.
#'    Each entry is a price relative: if a stock has price
#'    \eqn{p_t} at trading period \eqn{t}, it has price relative
#'    \eqn{\frac{p_t}{p_{t-1}}} at trading period \eqn{t}.
#'    Each variable name is one of the following stocks:
#'    \itemize{
#'      \item{General Electric Company}
#'      \item{Microsoft Corporation}
#'      \item{Wal-Mart Stores,}
#'      \item{Exxon Mobil Corporation}
#'      \item{Pfizer Inc}
#'      \item{Citigroup Inc.}
#'      \item{Johnson & Johnson}
#'      \item{American International Group}
#'      \item{International Business Machines Corporation}
#'      \item{Merck & Co., Inc.}
#'      \item{Procter & Gamble Company}
#'      \item{Intel Corporation}
#'      \item{Bank of America Corporation}
#'      \item{Coca-Cola Company}
#'      \item{Cisco Systems, Inc.}
#'      \item{Verizon Communications Inc.}
#'      \item{Wells Fargo & Company}
#'      \item{Amgen Inc.}
#'      \item{Dell Computer Corporation}
#'      \item{PepsiCo, Inc.}
#'      \item{SBC Communications Inc.}
#'      \item{Fannie Mae S&P}
#'      \item{ChevronTexaco Corporation}
#'      \item{Viacom Inc'b'}
#'      \item{Eli Lilly and Company}
#'    }
#'
#' @source \url{http://www.cs.technion.ac.il/~rani/portfolios/portfolios.htm}
"sp500"