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Distributions modelling FTSE100 stock returns

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Description

This data repository contains data for the multivariate distributions used in the paper "Scenario generation for single-period portfolio selection problems with tail risk measures: coping with high dimensions and integer variables" by Jamie Fairbrother, Amanda Turner and Stein Wallace. The distributions were fitted from from monthly return data for stocks in the FTSE100 index.
Date made available2017
PublisherLancaster University

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