EE609A Spring 2021: Term project on Sparse Index Tracking
Review on Sparse Index Tracking techniques for Passive Investment
By Aditya Singh and Varun Gadre
Code in MATLAB
Based on:
- Benedis et al., Sparse portfolios for highdimensional financial index tracking
- Xu et al., Sparse index tracking based on L_1/2 model and algorithm
- Zheng et al., Diversity and sparsity: A new perspective on index tracking
Read our report here
Some plots
Normalized portfolio value based on "directly investing" in NSE NIFTY50 vs investing in stocks suggested by algorithms
Comparing effect of re-adjustment period on the portfolio value
Normalized portfolio value based on "directly investing" in S&P 500 vs investing in stocks suggested by algorithms
