sparseIndexTracking
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20 hours ago •
dppalomar
dppalomar
Design of Portfolio of Stocks to Track an Index
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sparseIndexTracking issues
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- Obviously, revise the existing code and vignette. - Allow for box constraints (not allowed already?) - Include optional mean and variance terms in the objective apart from the tracking...
List of things to implement: (@dppalomar, @mirca) 1. Compare our method with the nonlinear solver optim() in the vignette. 2. Try using the QP solver solve.QP() after the first majorization...
enhancement