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]

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sparseIndexTracking.pdf |sparseIndexTracking.html✨
sparseIndexTracking/json (API)
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Bug tracker:https://github.com/dppalomar/sparseindextracking/issues

On CRAN:

financial-marketsindexportfoliotracking

1 exports 50 stars 3.13 score 0 dependencies 28 scripts 604 downloads

Last updated 1 years agofrom:73a8d60165. Checks:OK: 7. Indexed: yes.

Exports:spIndexTrack

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