Real-world datasets for portfolio selection and solutions of some stochastic dominance portfolio models.
Real-world datasets for portfolio selection and solutions of some stochastic dominance portfolio models.
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DOI：
10.1016/j.dib.2016.06.031
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发表时间：
2016-09
期刊：
影响因子：
1.2
通讯作者：
Tardella F
中科院分区：
文献类型：
--
作者：
Bruni R;Cesarone F;Scozzari A;Tardella F
自Markowitz的开创性工作以来，大量的投资组合选择模型出现在文献中。然而，即使描述了计算和经验结果，由于实验中使用的数据集不可用，它们通常也很难复制和比较。我们在这里提供了几个用于投资组合选择的数据集，这些数据集是使用几个主要股票市场的真实价格值生成的。数据集包含每周的回报值，针对股息和股票分割进行调整，尽可能地清除错误。这些数据集以不同的格式提供，可以用作测试投资组合选择模型性能的基准，并比较用于解决这些问题的算法的效率。对于这些数据集，我们还提供了基于随机优势模型的几种选择策略所获得的投资组合（参见“关于投资组合选择的精确和近似随机优势策略”（Bruni等人））。我们相信，在公开数据集上测试投资组合模型可以大大简化不同投资组合选择策略的比较。
A large number of portfolio selection models have appeared in the literature since the pioneering work of Markowitz. However, even when computational and empirical results are described, they are often hard to replicate and compare due to the unavailability of the datasets used in the experiments. We provide here several datasets for portfolio selection generated using real-world price values from several major stock markets. The datasets contain weekly return values, adjusted for dividends and for stock splits, which are cleaned from errors as much as possible. The datasets are available in different formats, and can be used as benchmarks for testing the performances of portfolio selection models and for comparing the efficiency of the algorithms used to solve them. We also provide, for these datasets, the portfolios obtained by several selection strategies based on Stochastic Dominance models (see “On Exact and Approximate Stochastic Dominance Strategies for Portfolio Selection” (Bruni et al.)). We believe that testing portfolio models on publicly available datasets greatly simplifies the comparison of the different portfolio selection strategies.