---
title: Sparse Risk Parity Enhanced Index Tracking Portfolio
url: https://www.ml-quant.com/papers/ssrn/4470609/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4470609
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4470609
featured: 2025-12-28
citations: 0
topic: Portfolio & Allocation
---


# Sparse Risk Parity Enhanced Index Tracking Portfolio

It tackles a sparse risk parity portfolio problem for index tracking while managing asset risks, with successful results on the SP 500.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4470609
- Identifier: SSRN 4470609
- Released: 2023-10-09
- First featured: Quant Letter No. 124 (2025-12-28): https://www.ml-quant.com/issues/2025-12-28/
- Citations (Semantic Scholar): 0
- Published in: not yet
- Topic: Portfolio & Allocation

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