R package citation, R package reverse dependencies, R package scholars, install an r package from GitHub hy is package acceptance pending why is package undeliverable amazon why is package on hold dhl tour packages why in r package r and r package full form why is r free why r is bad which r package to install which r package has which r package which r package version which r package readxl which r package ggplot which r package fread which r package license where is package.json where is package-lock.json where is package.swift where is package explorer in eclipse where is package where is package manager unity where is package installer android where is package manager console in visual studio who r package which r package to install which r package version who is package who is package deal who is package design r and r package full form r and r package meaning what r package has what package r what is package in java what is package what is package-lock.json what is package in python what is package.json what is package installer do r package can't install r packages r can't find package r can't load package can't load xlsx package r can't install psych package r can't install sf package r Write if else in NONMEM pk pd
sparseIndexTracking
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]
[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 05 Mar. 2026.
Previous versions and publish date:
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
ClimClass
Classification of climate according to Koeppen - Geiger, of aridity
indices, of continentality indi ...
Download / Learn more Package Citations See dependency
Download / Learn more Package Citations See dependency
Maintainer: Emanuele Eccel (view profile)
neat
Includes functions and examples to compute NEAT, the Network
Enrichment Analysis Test described in ...
Download / Learn more Package Citations See dependency
Download / Learn more Package Citations See dependency
Maintainer: Mirko Signorelli (view profile)
imagefx
Synthesize images into characteristic features for time-series analysis or machine learning applicat ...
Download / Learn more Package Citations See dependency
Download / Learn more Package Citations See dependency
Maintainer: Alex J.C. Witsil (view profile)
nextGenShinyApps
Nove responsive tools for designing and developing 'Shiny' dashboards and applications. The scripts ...
Download / Learn more Package Citations See dependency
Download / Learn more Package Citations See dependency
Maintainer: Obinna Obianom (view profile)
pinp
A 'PNAS'-alike style for 'rmarkdown', derived from the
'Proceedings of the National Academy of Scie ...
Download / Learn more Package Citations See dependency
Download / Learn more Package Citations See dependency
Maintainer: Dirk Eddelbuettel (view profile)
roccv
Cross validate large genetic data while specifying clinical variables that should always be in the m ...
Download / Learn more Package Citations See dependency
Download / Learn more Package Citations See dependency
Maintainer: Ben Sherwood (view profile)
26,264
R Packages
223,360
Dependencies
70,244
Author Associations
26,265
Publication Badges
