Data for: Incorporating Black-Litterman Views in Portfolio Construction when Stock Returns are a Mixture of Normals

Published: 23 November 2018| Version 1 | DOI: 10.17632/v43sbd5wpy.1
Contributors:
Burak Kocuk,
Gérard Cornuéjols

Description

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.

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