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

[Alec Schmidt]

Thank you Brian. I searched PortfolioAnalytics.pdf for 'tracking' but didn't find one. Are there any implementation examples?
________________________________________
From: R-SIG-Finance <r-sig-finance-bounces at r-project.org> on behalf of Brian G. Peterson <brian at braverock.com>
Sent: Wednesday, March 7, 2018 9:14 PM
To: r-sig-finance at r-project.org
Subject: Re: [R-SIG-Finance]  Minimizing tracking error with restricted number of stocks

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.

--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock

_______________________________________________
R-SIG-Finance at r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should go.