In this paper, we study asset selection methods to construct a sparse index tracking portfolio. For its advantage over full replication portfolio, the concept of sparse index tracking portfolio has significant attention in the field of finance and investment management. We propose useful formulations to select assets for sparse index tracking portfolio. Our formulations are described as combinatorial optimization problems, and they can yield various asset selection methods, including some existing methods, by adjusting the values of parameters. As a result, the proposed formulations can provide a well-balanced asset selection to create successful sparse index tracking portfolios. We also provide numerical examples to compare the tracking performance of resulting sparse index tracking portfolios.

翻译：本文研究用于构建稀疏指数跟踪投资组合的资产选择方法。相较于完全复制型投资组合，稀疏指数跟踪投资组合的概念因其优势而在金融与投资管理领域受到广泛关注。我们提出了若干用于稀疏指数跟踪投资组合资产选择的有效公式。这些公式被表述为组合优化问题，通过调整参数值可衍生出多种资产选择方法（包括部分现有方法）。因此，所提公式能够实现均衡的资产选择，从而成功构建稀疏指数跟踪投资组合。我们同时提供数值算例，对比所得稀疏指数跟踪投资组合的跟踪效果。