A matrix of 500 rows (return scenarios) and 200 columns (mutual funds). The elements in the matrix are weekly returns.
A plain numeric matrix.
The scenarios were created with a bootstrapping technique. The data set is only meant to provide example data on which to test algorithms.
Schumann, E. (2010) Essays on Practical Financial Optimisation, (chapter 4), PhD thesis, University of Geneva.
Gilli, M., Maringer, D. and Schumann, E. (2011) Numerical Methods and Optimization in Finance. Elsevier. http://www.elsevierdirect.com/product.jsp?isbn=9780123756626
Schumann, E. (2016) Financial Optimisation with R (NMOF Manual). http://enricoschumann.net/NMOF.htm#NMOFmanual
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