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.