More items for the to-do list

[dppalomar]

• Obviously, revise the existing code and vignette.
• Allow for box constraints (not allowed already?)
• Include optional mean and variance terms in the objective apart from the tracking error (like in the risk parity portfolio package)
• Include a turnover constraint
• Group sparsity?

[niheaven]

What about industrial neutral?

[dppalomar]

Indeed, we should allow general linear equality and inequality constraints.

In fact, this package is long due a serious revision. I think we will do soon… cross fingers…

[snth]

That would be great. I've watched a couple of your lectures and gone over the papers and this work is impressive. Also really great that you are providing an open source implementation. So thank you very much!

I came here to see if the box and linear equality constraints were implemented and glad to see that you might do so soon! 🤞

[dppalomar]

I plan to get to this in several months. I am writing a book now and I need to finish it first. The book has one chapter on index tracking with some new material and perspective. And I will make sure it is online for free.