Data from EuroStoxx50

Weekly returns (r) and covariance (R) for N=48 stocks during 264 weeks from March 2003 to March 2008. An artificial risk-free asset r0 is also included.

Data suppplied by 
Fabio Tardella
Professor of Operations Research
University of Rome "La Sapienza"
http://w3.uniroma1.it/Tardella/datasets.html