index-tracking

A JavaScript library to allocate and optimize financial portfolios.

Tracking S&P 500 index with deep learning model

Term project based on Sparse Index Tracking for Passive Investment

Genetic Algorithm Optimization for the Index-Tracking problem.

Automatic Index Tracking for CasADi NLPs

Passive index replication of the NASDAQ-100 using Mixed Integer Programming that selects an optimal 25-asset fund from 97 equities to maximise correlation-weighted similarity across rolling market regimes.

Do optimised portfolios beat naive 1/N out of sample? A replication of DeMiguel, Garlappi and Uppal (2009) on Ken French's data, and their question put to a long-only index-tracking mandate on 49 industries, 1979 to 2026.

Sparse S&P 500 portfolio replication using LASSO regression, greedy forward selection, and quadratic programming for tracking-error minimization.

Mirrors the U.S. and Canadian markets with just 20 stocks, matching their moves without chasing bigger returns.

Finds the index of a word in any txt file

지수 상향 추종 포트폴리오 알고리즘

ML pipeline replicating the FTSE MIB with an autoencoder for stock selection — out-of-sample evaluation

Cardinality-constrained portfolio optimization and index tracking, with solver bounds and benchmark checks. US empirical evaluation awaits licensed CRSP data.