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

[Brian G. Peterson]

On 03/07/2018 08:39 PM, Alec Schmidt wrote:
> Thank you Brian. I searched PortfolioAnalytics.pdf for 'tracking' but didn't find one. Are there any implementation examples?

See Ross Bennett's tutorial from R/Finance 2017:

https://rossb34.github.io/PortfolioAnalyticsPresentation2017/#1

Tracking Error example starts on slide 29, though you should find the 
rest of the tutorial useful.

- Brian

> ________________________________________
> 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.
>