sparseIndexTracking | Design of Portfolio of Stocks to Track an Index | Portfolio library

by dppalomar R Version: v0.1.1 License: GPL-3.0

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kandi X-RAY | sparseIndexTracking Summary

sparseIndexTracking is a R library typically used in Web Site, Portfolio applications. sparseIndexTracking has no bugs, it has no vulnerabilities, it has a Strong Copyleft License and it has low support. You can download it from GitHub.

[CRAN Downloads] ![CRAN Downloads Total] 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.

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sparseIndexTracking has a low active ecosystem.

It has 27 star(s) with 12 fork(s). There are 5 watchers for this library.

It had no major release in the last 12 months.

There are 1 open issues and 0 have been closed. There are no pull requests.

It has a neutral sentiment in the developer community.

The latest version of sparseIndexTracking is v0.1.1

Quality

sparseIndexTracking has 0 bugs and 0 code smells.

Security

sparseIndexTracking has no vulnerabilities reported, and its dependent libraries have no vulnerabilities reported.

sparseIndexTracking code analysis shows 0 unresolved vulnerabilities.

There are 0 security hotspots that need review.

License

sparseIndexTracking is licensed under the GPL-3.0 License. This license is Strong Copyleft.

Strong Copyleft licenses enforce sharing, and you can use them when creating open source projects.

Reuse

sparseIndexTracking releases are available to install and integrate.

Installation instructions, examples and code snippets are available.

It has 304 lines of code, 0 functions and 1 files.

It has low code complexity. Code complexity directly impacts maintainability of the code.

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sparseIndexTracking Key Features

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sparseIndexTracking Examples and Code Snippets

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Community Discussions

Trending Discussions on sparseIndexTracking

sparseIndexTracking 0.1.0 failure in if(): missing value where TRUE/FALSE needed

QUESTION

sparseIndexTracking 0.1.0 failure in if(): missing value where TRUE/FALSE needed

Asked 2018-Jul-30 at 21:54

I have two datasets. Both are xts objects.

...

ANSWER

Answered 2018-Jul-30 at 21:49

Data preparation

spIndexTrack first applies as.matrix on your input object as the function expects a matrix and a vector

Source https://stackoverflow.com/questions/51547392

Community Discussions, Code Snippets contain sources that include Stack Exchange Network

Vulnerabilities

No vulnerabilities reported

Install sparseIndexTracking

To install the latest stable version of sparseIndexTracking from CRAN, run the following commands in R:.

Support

For more detailed information, please check the vignette: [CRAN vignette](https://CRAN.R-project.org/package=sparseIndexTracking/vignettes/SparseIndexTracking.html) and [GitHub vignette](https://raw.githack.com/dppalomar/sparseIndexTracking/master/vignettes/SparseIndexTracking.html).

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