Package: sparseIndexTracking 0.1.1.9000
sparseIndexTracking: Design of Portfolio of Stocks to Track an Index
Computation of sparse portfolios for financial index tracking, i.e., joint selection of a subset of the assets that compose the index and computation of their relative weights (capital allocation). The level of sparsity of the portfolios, i.e., the number of selected assets, is controlled through a regularization parameter. Different tracking measures are available, namely, the empirical tracking error (ETE), downside risk (DR), Huber empirical tracking error (HETE), and Huber downside risk (HDR). See vignette for a detailed documentation and comparison, with several illustrative examples. The package is based on the paper: K. Benidis, Y. Feng, and D. P. Palomar, "Sparse Portfolios for High-Dimensional Financial Index Tracking," IEEE Trans. on Signal Processing, vol. 66, no. 1, pp. 155-170, Jan. 2018. <doi:10.1109/TSP.2017.2762286>.
Authors:
sparseIndexTracking_0.1.1.9000.tar.gz
sparseIndexTracking_0.1.1.9000.zip(r-4.5)sparseIndexTracking_0.1.1.9000.zip(r-4.4)sparseIndexTracking_0.1.1.9000.zip(r-4.3)
sparseIndexTracking_0.1.1.9000.tgz(r-4.4-any)sparseIndexTracking_0.1.1.9000.tgz(r-4.3-any)
sparseIndexTracking_0.1.1.9000.tar.gz(r-4.5-noble)sparseIndexTracking_0.1.1.9000.tar.gz(r-4.4-noble)
sparseIndexTracking_0.1.1.9000.tgz(r-4.4-emscripten)sparseIndexTracking_0.1.1.9000.tgz(r-4.3-emscripten)
sparseIndexTracking.pdf |sparseIndexTracking.html✨
sparseIndexTracking/json (API)
NEWS
| # Install 'sparseIndexTracking' in R: |
| install.packages('sparseIndexTracking', repos = c('https://dppalomar.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/dppalomar/sparseindextracking/issues
- INDEX_2010 - Database of the net returns of the index S&P 500 and its underlying assets during the year 2010
financial-marketsindexportfoliotracking
Last updated 1 years agofrom:73a8d60165. Checks:OK: 7. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Nov 19 2024 |
| R-4.5-win | OK | Nov 19 2024 |
| R-4.5-linux | OK | Nov 19 2024 |
| R-4.4-win | OK | Nov 19 2024 |
| R-4.4-mac | OK | Nov 19 2024 |
| R-4.3-win | OK | Nov 19 2024 |
| R-4.3-mac | OK | Nov 19 2024 |
Exports:spIndexTrack
Dependencies:
Design of Portfolio of Stocks to Track an Index (html)
Rendered fromSparseIndexTracking.html.asisusingR.rsp::asison Nov 19 2024.Last update: 2019-06-01
Started: 2019-06-01
Design of Portfolio of Stocks to Track an Index (pdf)
Rendered fromSparseIndexTracking-pdf.pdf.asisusingR.rsp::asison Nov 19 2024.Last update: 2019-06-01
Started: 2019-06-01
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| sparseIndexTracking: Design of Portfolio of Stocks to Track an Index | sparseIndexTracking-package |
| Database of the net returns of the index S&P 500 and its underlying assets during the year 2010 | INDEX_2010 |
| Sparse Index Tracking | spIndexTrack |
