INDTRACK6 {FRAPO}

INDTRACK6: S&P 500 Index and Constituents

Description

Weekly price data of S&P 500 index and 457 constituents.

Usage

data(INDTRACK6)

Format

A data frame with 291 weekly observations of the index and 457 members of the S&P 500 index. The sample starts in March 1991 and ends in September 1997.

Details

The data set was used in the first two references below. Stocks with missing values during the sample period have been discarded. The data was downloaded from DATASTREAM and has been anonymized. The first columne refers to the index data itself. See the attached license file that is part of this package: ‘BeasleyLicence’.

Source

http://people.brunel.ac.uk/~mastjjb/jeb/info.html
http://people.brunel.ac.uk/~mastjjb/jeb/orlib/legal.html

References

Canakgoz, N.A. and J.E. Beasley (2008), Mixed-integer programming approaches for index tracking and enhanced indexation, European Journal of Operational Research, Vol. 196, 384–399.
Beasley, J. E. (1990), OR-Library: Distributing Test Problems by Electronic Mail, Journal of the Operational Research Society, Vol. 41, No. 11, 1069–1072.

Examples

data(INDTRACK6)