Data for: Incorporating Black-Litterman Views in Portfolio Construction when Stock Returns are a Mixture of Normals
| Main Author: | Kocuk, Burak |
|---|---|
| Other Authors: | Cornuéjols, Gérard |
| Format: | Dataset |
| Terbitan: |
Mendeley
, 2018
|
| Subjects: | |
| Online Access: |
https:/data.mendeley.com/datasets/v43sbd5wpy |
Daftar Isi:
- This spreadsheet contains the raw data used in the numerical experiments of the paper "Incorporating Black-Litterman Views in Portfolio Construction when Stock Returns are a Mixture of Normals". It contains two 360x11 matrices representing the return and percentage market capitalization for the 11 sectors in S&P 500 index over a period of 360 months.