[R-SIG-Finance] Minimizing tracking error with restricted number of stocks

Alec Schmidt aschmid1 at stevens.edu
Thu Mar 8 02:55:18 CET 2018


Say I have a portfolio of 100 stocks and want to find a subset of 20 stocks with minimum tracking error in respect to the original portfolio. I wonder if a solver to this problem is implemented in some R-based library.

Thanks! Alec

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