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

[Brian G. Peterson]

On 03/07/2018 07:55 PM, Alec Schmidt wrote:
> 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.

PortfolioAnalytics can do this.

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Brian G. Peterson
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