Table 2 Datasets of weekly returns considered in this study (Bruni et al. 2016)
From: Portfolio optimization by improved NSGA-II and SPEA 2 based on different risk measures
Dataset name | Stock market index | Assets (n) | Time interval | # of obs. |
|---|---|---|---|---|
DowJones | Dow Jones Industrial Average | 28 | Feb 1990 – Apr 2016 | 1363 |
FF49Industries | Fama and French 49 Industry | 49 | Jul 1969 – Jul 2015 | 2325 |
NASDAQ100 | NASDAQ 100 | 82 | Nov 2004 – Apr 2016 | 596 |
SP500 | S&P 500 | 442 | Nov 2004 – Apr 2016 | 595 |
NASDAQComp | NASDAQ Composite | 1203 | Feb 2003 – Apr 2016 | 685 |