fundData: Mutual Fund Returns

Description Usage Format Details Source References Examples

Description

A matrix of 500 rows (return scenarios) and 200 columns (mutual funds). The elements in the matrix are weekly returns.

Usage

1

Format

A plain numeric matrix.

Details

The scenarios were created with a bootstrapping technique. The data set is only meant to provide example data on which to test algorithms.

Source

Schumann, E. (2010) Essays on Practical Financial Optimisation, (chapter 4), PhD thesis, University of Geneva.

References

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

Examples

1

enricoschumann/NMOF documentation built on June 5, 2019, 8:56 a.m.