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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

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Cite this as

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

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It is available for use in manuscripts, and will be published when the Dataset is made public.

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
More Authors	John Cotter Iason Kynigakis
Homepage	https://example.com/dataset