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>.

Version: 0.1.1
Suggests: bookdown, knitr, prettydoc, rmarkdown, R.rsp, xts
Published: 2019-06-02
DOI: 10.32614/CRAN.package.sparseIndexTracking
Author: Konstantinos Benidis [aut], Daniel P. Palomar [cre, aut]
Maintainer: Daniel P. Palomar <daniel.p.palomar at gmail.com>
BugReports: https://github.com/dppalomar/sparseIndexTracking/issues
License: GPL-3 | file LICENSE
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
NeedsCompilation: no
Citation: sparseIndexTracking citation info
Materials: README NEWS
CRAN checks: sparseIndexTracking results

Documentation:

Reference manual: sparseIndexTracking.pdf
Vignettes: Design of Portfolio of Stocks to Track an Index (pdf)
Design of Portfolio of Stocks to Track an Index (html)

Downloads:

Package source: sparseIndexTracking_0.1.1.tar.gz
Windows binaries: r-devel: sparseIndexTracking_0.1.1.zip, r-release: sparseIndexTracking_0.1.1.zip, r-oldrel: sparseIndexTracking_0.1.1.zip
macOS binaries: r-release (arm64): sparseIndexTracking_0.1.1.tgz, r-oldrel (arm64): sparseIndexTracking_0.1.1.tgz, r-release (x86_64): sparseIndexTracking_0.1.1.tgz, r-oldrel (x86_64): sparseIndexTracking_0.1.1.tgz
Old sources: sparseIndexTracking archive

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