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Real-world datasets for portfolio selection and …

Data ArticleReal-world datasets for portfolio selectionand solutions of some stochastic dominanceportfolio modelsRenato Brunia, Francesco Cesaroneb,n, Andrea Scozzaric,Fabio TardelladaDip. Di Ingegneria Informatica, Automatica e Gestionale, Sapienza Universit Di Roma, Rome, ItalybDip. di Studi Aziendali, Universit di Roma Tre, Rome, ItalycFacolt di Economia, Universit degli Studi Niccol Cusano, Rome, ItalydDip. Metodi e Modelli per l'Economia, il Territorio e la Finanza, Sapienza Universit di Roma, Rome, Italyarticle infoArticle history:Received 26 February 2016 Received in revised form9 June 2016 Accepted 21 June 2016 available online 28 June 2016abstractA large number of portfolio selection models have appeared in theliterature since the pioneering work of Markowitz.

daily returns of the 49 industries are available, namely from July 1969 to July 2015. Furthermore, to standardize the frequencies of all data sets we extract weekly returns rw

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