Package: sparseIndexTracking
Title: Design of Portfolio of Stocks to Track an Index
Version: 0.1.1.9000
Date: 2019-06-01
Description: 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@R: c(
  person("Konstantinos", "Benidis", role = "aut", email = "benidisk@gmail.com"),
  person(c("Daniel", "P."), "Palomar", role = c("cre", "aut"), email = "daniel.p.palomar@gmail.com")
  )
Maintainer: Daniel P. Palomar <daniel.p.palomar@gmail.com>
URL: https://CRAN.R-project.org/package=sparseIndexTracking,
        https://github.com/dppalomar/sparseIndexTracking,
        https://www.danielppalomar.com,
        https://doi.org/10.1109/TSP.2017.2762286
BugReports: https://github.com/dppalomar/sparseIndexTracking/issues
Depends:
License: GPL-3 | file LICENSE
Encoding: UTF-8
LazyData: true
Imports:
RoxygenNote: 7.2.1
Suggests: bookdown, knitr, prettydoc, rmarkdown, R.rsp, xts
VignetteBuilder: knitr, rmarkdown, R.rsp
Repository: https://dppalomar.r-universe.dev
Date/Publication: 2023-05-28 05:24:16 UTC
RemoteUrl: https://github.com/dppalomar/sparseindextracking
RemoteRef: HEAD
RemoteSha: 73a8d6016588634ba91f7e6d1667f343034ec9b8
NeedsCompilation: no
Packaged: 2026-06-17 07:53:07 UTC; root
Author: Konstantinos Benidis [aut],
  Daniel P. Palomar [cre, aut]