This is a data supporting package for the Portfolio Optimization Book, with the developer GitHub webpage.
For additional material, such as slides, exercises, and code examples (R and Python), please check https://portfoliooptimizationbook.com
To install in R:
devtools::install_github("dppalomar/pob")To install in Python:
pip install "git+https://github.com/dppalomar/pob.git#subdirectory=python"The package contains S&P 500 stock data and cryptocurrency data.
To load data in R:
library(pob)
# stock S&P500 market data
data(SP500_2015to2020)
names(SP500_2015to2020)
head(SP500_2015to2020$stocks[, 1:5])
# crypto data
data(cryptos_2017to2021)
names(cryptos_2017to2021)
head(cryptos_2017to2021$hourly[, 1:5])To load data in Python:
from pob_python import SP500_stocks_2015to2020, cryptos_2017to2021_daily
# Access S&P 500 components
print(SP500_stocks_2015to2020.columns)
print(SP500_stocks_2015to2020.head())
# Access crypto data
print(cryptos_2017to2021_daily.columns)
print(cryptos_2017to2021_daily.head())
print(cryptos_2017to2021_daily['BTC'])
print(cryptos_2017to2021_daily['ETH'])