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)
NEWS

# Install 'sparseIndexTracking' in R:
install.packages('sparseIndexTracking', repos = c('https://dppalomar.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

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:

financial-marketsindexportfoliotracking

6.47 score 51 stars 29 scripts 445 downloads 1 exports 0 dependencies

Last updated 2 years agofrom:73a8d60165. Checks:7 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKDec 19 2024
R-4.5-winOKDec 19 2024
R-4.5-linuxOKDec 19 2024
R-4.4-winOKDec 19 2024
R-4.4-macOKDec 19 2024
R-4.3-winOKDec 19 2024
R-4.3-macOKDec 19 2024

Exports:spIndexTrack

Dependencies:

Design of Portfolio of Stocks to Track an Index (html)

Rendered fromSparseIndexTracking.html.asisusingR.rsp::asison Dec 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 Dec 19 2024.

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