| Name : R-sparseIndexTracking
| |
| Version : 0.1.1
| Vendor : obs://build_opensuse_org/devel:languages:R
|
| Release : lp153.2.13
| Date : 2024-06-14 11:13:38
|
| Group : Development/Libraries/Other
| Source RPM : R-sparseIndexTracking-0.1.1-lp153.2.13.src.rpm
|
| Size : 2.85 MB
| |
| Packager : (none)
| |
| Summary : Design of Portfolio of Stocks to Track an Index
|
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>.
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Leap_15.3/x86_64 |
