sparseIndexTracking
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Design of Portfolio of Stocks to Track an Index
- 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...
Hi, First of all, thank you for this fantastic package! I have a few questions and feature requests: Additional Constraints: Is it possible to add restrictions such as the minimum...