Sparse Index Tracking Portfolio

Construct a portfolio as close as possible, in terms of returns, to a benchmark, optionally subject to:

• A maximum number of assets constraint
• Minimum and maximum weights constraints
• Minimum and maximum group weights constraints
• Minimum and maximum portfolio exposure constraints

References

• Konstantinos Benidis, Yiyong Feng, Daniel P. Palomar, Optimization Methods for Financial Index Tracking: From Theory to Practice, now publishers Inc (7 juin 2018)
• Purity Mutunge and Dag Haugland. Minimizing the tracking error of cardinality constrained portfolios. Computers & Operations Research Volume 90, February 2018, Pages 33-41