To cite 'sparseIndexTracking' in publications, please use:

K. Benidis, Y. Feng, and D. P. Palomar, "Sparse Portfolios for High-Dimensional Financial Index Tracking," IEEE Transactions on Signal Processing, vol. 66, no. 1, pp. 155-170, Jan. 2018.

K. Benidis and D. P. Palomar (2018). sparseIndexTracking: Design of Portfolio of Stocks to Tracks an Index. R package version 0.1.0. https://CRAN.R-project.org/package=sparseIndexTracking

Corresponding BibTeX entries:

  @Article{,
    title = {Sparse Portfolios for High-Dimensional Financial Index
      Tracking},
    author = {K. Benidis and Y. Feng and D. P. Palomar},
    journal = {IEEE Transactions on Signal Processing},
    volume = {66},
    number = {1},
    pages = {155--170},
    year = {2018},
    url = {http://www.danielppalomar.com/publications.html},
  }
  @Manual{,
    title = {sparseIndexTracking: Design of Portfolio of Stocks to
      Tracks an Index},
    author = {K. Benidis and D. P. Palomar},
    note = {R package version 0.1.0},
    year = {2018},
    url = {https://CRAN.R-project.org/package=sparseIndexTracking},
  }