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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