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:Konstantinos Benidis [aut], Daniel P. Palomar [cre, aut]

sparseIndexTracking_0.1.1.9000.tar.gz
sparseIndexTracking_0.1.1.9000.zip(r-4.7-any)sparseIndexTracking_0.1.1.9000.zip(r-4.6-any)sparseIndexTracking_0.1.1.9000.zip(r-4.5-any)
sparseIndexTracking_0.1.1.9000.tgz(r-4.6-any)sparseIndexTracking_0.1.1.9000.tgz(r-4.5-any)
sparseIndexTracking_0.1.1.9000.tar.gz(r-4.7-any)sparseIndexTracking_0.1.1.9000.tar.gz(r-4.6-any)
sparseIndexTracking_0.1.1.9000.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
sparseIndexTracking/json (API)

# 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

Datasets:
  • INDEX_2010 - Database of the net returns of the index S&P 500 and its underlying assets during the year 2010

On CRAN:

Conda:

financial-marketsindexportfoliotracking

6.52 score 59 stars 28 scripts 332 downloads 1 exports 0 dependencies

Last updated from:73a8d60165. Checks:9 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-develOK104
source / vignettesOK208
linux-releaseOK163
macos-releaseOK188
macos-oldrelOK193
windows-develOK75
windows-releaseOK74
windows-oldrelOK113
wasm-releaseOK93

Exports:spIndexTrack

Dependencies:

Design of Portfolio of Stocks to Track an Index (html)
Design of Portfolio of Stocks to Track an Index | Comparison with other packages | Usage of the package | Explanation of the algorithms | spIndexTrack(): Sparse portfolio construction | References
Rendered fromSparseIndexTracking.html.asisusingR.rsp::asis

Last update: 2019-06-01
Started: 2019-06-01

Design of Portfolio of Stocks to Track an Index (pdf)
Comparison with other packages | Usage of the package | Explanation of the algorithms | References
Rendered fromSparseIndexTracking-pdf.pdf.asisusingR.rsp::asis

Last update: 2019-06-01
Started: 2019-06-01