Datasets and Suplementary Material for a Portfolio
Selection Paper
Allan Borodin, Ran El-Yaniv, Vincent Gogan
The Datasets:
1.
NYSE: info download dataset
2.
TSE: info download dataset
3.
SP500: info download dataset
4.
DJIA: info download dataset
Each dataset
is a zipped ascii file
containing a T x m matrix where T is the number of trading days and m is the
number of stocks. For example, the DJIA file contains a 507 x 30 matrix where
the first column provides the relative prices of the first stock (for all days),
etc.