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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 26 Jun. 2026.
Previous versions and publish date:
0.1.0 (2018-05-17 11:04)
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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
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