Software of Daniel P. Palomar

Packages at GitHub in R:

• sparseEigen: Computation of Sparse Eigenvectors of a Matrix
• sparseIndexTracking: Design of Portfolio of Stocks to Track an Index
• covFactorModel: Covariance Matrix Estimation via Factor Models​

Packages in CRAN:

• sparseEigen: Computation of Sparse Eigenvectors of a Matrix
• sparseIndexTracking: Design of Portfolio of Stocks to Track an Index