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

Jason Hart jasonhart4 at icloud.com
Thu Mar 8 15:46:51 CET 2018


Great presentation, thanks for sharing the link

Sent from my iPad

> On Mar 7, 2018, at 10:00 PM, Brian G. Peterson <brian at braverock.com> wrote:
> 
>> 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.
>> 
> 
> _______________________________________________
> 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.



More information about the R-SIG-Finance mailing list