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: Downloads: Linking:Please use the canonical form https://CRAN.R-project.org/package=sparseIndexTracking to link to this page.
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