Other packages > Find by keyword >

sparseIndexTracking  

Design of Portfolio of Stocks to Track an Index
View on CRAN: Click here


Download and install sparseIndexTracking package within the R console
Install from CRAN:
install.packages("sparseIndexTracking")

Install from Github:
library("remotes")
install_github("cran/sparseIndexTracking")

Install by package version:
library("remotes")
install_version("sparseIndexTracking", "0.1.1")



Attach the package and use:
library("sparseIndexTracking")
Maintained by
Daniel P. Palomar
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2018-05-17
Latest Update: 2019-06-02
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>.
How to cite:
Daniel P. Palomar (2018). sparseIndexTracking: Design of Portfolio of Stocks to Track an Index. R package version 0.1.1, https://cran.r-project.org/web/packages/sparseIndexTracking. Accessed 07 Aug. 2026.
Previous versions and publish date:
(2026-07-09 07:07), 0.1.0 (2018-05-17 11:04)
Other packages that cited sparseIndexTracking R package
View sparseIndexTracking citation profile
Other R packages that sparseIndexTracking depends, imports, suggests or enhances
Complete documentation for sparseIndexTracking
Functions, R codes and Examples using the sparseIndexTracking R package
Some associated functions: INDEX_2010 . spIndexTrack . sparseIndexTracking-package . 
Some associated R codes: INDEX_2010.R . spIndexTrack.R . sparseIndexTracking-package.R .  Full sparseIndexTracking package functions and examples
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

bbricks  
Bayesian Methods and Graphical Model Structures for Statistical Modeling
A set of frequently used Bayesian parametric and nonparametric model structures, as well as a set of ...
Download / Learn more Package Citations See dependency  
enrichwith  
Methods to Enrich R Objects with Extra Components
Provides the "enrich" method to enrich list-like R objects with new, relevant components. The curren ...
Download / Learn more Package Citations See dependency  
BayesESS  
Determining Effective Sample Size
Determines effective sample size of a parametric prior distribution in Bayesian models. For a web-b ...
Download / Learn more Package Citations See dependency  
modelwordcloud  
Model Word Clouds
Makes a word cloud of text, sized by the frequency of the word, and colored either by user-specified ...
Download / Learn more Package Citations See dependency  
r2resize  
In-Text Resize for Images, Tables and Fancy Resize Containers in 'shiny', 'rmarkdown' and 'quarto' Documents
Automatic resizing toolbar for containers, images and tables. Various resizable or expandable contai ...
Download / Learn more Package Citations See dependency  

28,083

R Packages

239,283

Dependencies

74,457

Author Associations

28,084

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA