{"id":18490432,"url":"https://github.com/axsaucedo/sparse","last_synced_at":"2026-01-24T16:36:16.610Z","repository":{"id":16201816,"uuid":"18948620","full_name":"axsaucedo/sparse","owner":"axsaucedo","description":"The effects of sparse and group-feature regression models in portfolio optimization.","archived":false,"fork":false,"pushed_at":"2014-05-18T09:49:40.000Z","size":675400,"stargazers_count":24,"open_issues_count":0,"forks_count":8,"subscribers_count":5,"default_branch":"master","last_synced_at":"2024-12-25T15:26:35.770Z","etag":null,"topics":[],"latest_commit_sha":null,"homepage":"","language":"Matlab","has_issues":true,"has_wiki":null,"has_pages":null,"mirror_url":null,"source_name":null,"license":"mit","status":null,"scm":"git","pull_requests_enabled":true,"icon_url":"https://github.com/axsaucedo.png","metadata":{"files":{"readme":"README.md","changelog":null,"contributing":null,"funding":null,"license":"LICENSE.txt","code_of_conduct":null,"threat_model":null,"audit":null,"citation":null,"codeowners":null,"security":null,"support":null}},"created_at":"2014-04-19T19:07:49.000Z","updated_at":"2024-10-14T11:38:00.000Z","dependencies_parsed_at":"2022-09-13T13:13:11.336Z","dependency_job_id":null,"html_url":"https://github.com/axsaucedo/sparse","commit_stats":null,"previous_names":[],"tags_count":0,"template":false,"template_full_name":null,"repository_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/axsaucedo%2Fsparse","tags_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/axsaucedo%2Fsparse/tags","releases_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/axsaucedo%2Fsparse/releases","manifests_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/axsaucedo%2Fsparse/manifests","owner_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners/axsaucedo","download_url":"https://codeload.github.com/axsaucedo/sparse/tar.gz/refs/heads/master","host":{"name":"GitHub","url":"https://github.com","kind":"github","repositories_count":239207390,"owners_count":19599963,"icon_url":"https://github.com/github.png","version":null,"created_at":"2022-05-30T11:31:42.601Z","updated_at":"2022-07-04T15:15:14.044Z","host_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub","repositories_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories","repository_names_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repository_names","owners_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners"}},"keywords":[],"created_at":"2024-11-06T12:59:39.125Z","updated_at":"2025-10-31T14:30:43.315Z","avatar_url":"https://github.com/axsaucedo.png","language":"Matlab","funding_links":[],"categories":[],"sub_categories":[],"readme":"# Sparse and Group Regression models in Portfolio Optimization \n## Introduction\n\nThis repo contains the implementation of models studied, analysed and proposed in [\"The effects of Sparse and Group Regression models in Portfolio Optimization\"](../master/paper.pdf?raw=true).\n\nThis implementation focuses on finding the effects of Sparse and Group regression approaches to portfolio optimization problems in finance.\n\n## Motivation\n\nCurrent approaches to portfolio optimization consider stocks as individual entities, and do not exploit the grouping/classifying information available (e.g. Financial Sectors, Industries, Type, etc).\n\nThis paper proposes a novel approach to Index Tracking - namely, a sparse, group and sparse group approach.\n\n## Implementation\nThis repo contains the implementation of the following models:\n\n#### Feature Regression Models\n* Absolute Values\n* Conditional-Value-at-Risk (CVaR) Optimization\n* Norm-Constrained CVaR Optimization\n* Lasso\n\n#### Group Regression Models\n* Group Selection\n* Group Lasso\n* Sparse Group Lasso\n\n## Requirements\nThis implementation requires the [CVX library](http://cvxr.com/cvx/download/) for solving the convex optimization problems.\n\n## Usage\nTests were built to provide intuition when implementing the Sparse Group Regression model into a set of data, however, understanding on these models is required for an effective use;\n","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Faxsaucedo%2Fsparse","html_url":"https://awesome.ecosyste.ms/projects/github.com%2Faxsaucedo%2Fsparse","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Faxsaucedo%2Fsparse/lists"}