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Machine Learning and Factor-Based Portfolio Optimization

The dataset consists of monthly total individual stock returns from the Center for Research in Security Prices (CRSP) starting on January 1960 to December 2019, for a period of 60 years (or 720 monthly observations).

Data and Resources

Cite this as

Thomas Conlon, John Cotter, Iason Kynigakis (2024). Dataset: Machine Learning and Factor-Based Portfolio Optimization. https://doi.org/10.57702/0eol06b3

DOI retrieved: December 3, 2024

Additional Info

Field Value
Created December 3, 2024
Last update December 3, 2024
Defined In https://doi.org/10.48550/arXiv.2107.13866
Author Thomas Conlon
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John Cotter
Iason Kynigakis
Homepage https://example.com/dataset