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

[Alec Schmidt]

This is a very handy doc indeed. I'm not sure though that examples on #29 - #31 address the problem I'm looking into. Namely, I need minimum tracking error with explicit constraint on the number of stocks that is lower than in the benchmark portfolio. Coleman, Li, and Henniger (2004) state that it's NP-hard problem and review a few heuristic methods. Is there one implemented in PortfolioAnalytics?
Thanks much! Alec
________________________________________
From: R-SIG-Finance <r-sig-finance-bounces at r-project.org> on behalf of Jason Hart <jasonhart4 at icloud.com>
Sent: Thursday, March 8, 2018 9:46 AM
To: Brian G. Peterson
Cc: R-SIG-Finance
Subject: Re: [R-SIG-Finance]  Minimizing tracking error with restricted number of stocks

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.
>>
>
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