Lasso_Example_R

Description

​ This repository stores the raw data and R code (and python code) related to an example of Lasso.

Raw Data

• HW6 Demo.R is the main code for doing Lasso.

• The raw data directory contains the returns of 65 Super Investors on Dataroma, and the return of S&P500.

  • Check https://www.dataroma.com/m/managers.php for 65 Super Investors.

  • rInvestors.csv contains the portfolio return of the 65 investors.

  • rS&P500.csv contains the monthly return of S&P500.

• The sub-directory SP500 contains the python crawling code that crawled the price data.

• The sub-directory Investors contains the raw data of Fama-French 5 factor model.

  • Check https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html for French's Data Lab.