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In this paper, we study asset selection methods to construct a sparse indextracking portfolio. For its advantage over full replication portfolio, theconcept of sparse index tracking portfolio has significant attention in thefield of finance and investment management. We propose useful formulations toselect assets for sparse index tracking portfolio. Our formulations aredescribed as combinatorial optimization problems, and they can yield variousasset selection methods, including some existing methods, by adjusting thevalues of parameters. As a result, the proposed formulations can provide awell-balanced asset selection to create successful sparse index trackingportfolios. We also provide numerical examples to compare the trackingperformance of resulting sparse index tracking portfolios.

Formulations to select assets for constructing sparse index tracking portfolios