MIBTEL: Milano Indice Borsa Telematica

In FRAPO: Financial Risk Modelling and Portfolio Optimisation with R

Description

Weekly price data of 226 MIBTEL constituents.

Usage

data(MIBTEL)

Format

A data frame with 265 weekly observations of 226 members of the Milano Indice Borsa Telematica index. The sample starts at 2003-03-03 and ends in 2008-03-24.

Details

The data set was used in the reference below. The authors adjusted the price data for dividends and have removed stocks if two or more consecutive missing values were found. In the remaining cases the NA entries have been replaced by interpolated values.

Source

http://host.uniroma3.it/docenti/cesarone/DataSets.htm
http://finance.yahoo.com/

References

Cesarone, F. and Scozzari, A. and Tardella, F.: Portfolio selection problems in practice: a comparison between linear and quadratic optimization models, Working Paper, Universita degli Studi Roma Tre, Universita Telematica delle Scienze Umane and Universita di Roma, July 2010.
http://arxiv.org/ftp/arxiv/papers/1105/1105.3594.pdf

Examples

data(MIBTEL)

Example output

Loading required package: cccp
Loading required package: Rglpk
Loading required package: slam
Using the GLPK callable library version 4.52
Loading required package: timeSeries
Loading required package: timeDate
Financial Risk Modelling and Portfolio Optimisation with R (version 0.4-1)

FRAPO documentation built on May 2, 2019, 5:24 p.m.