Message-ID: <797485991.9774726.1520474890164@mail.yahoo.com>
Date: 2018-03-08T02:08:10Z
From: Vivek Rao
Subject: Minimizing tracking error with restricted number of stocks
In-Reply-To: <1520474119352.56010@stevens.edu>
Alec,
You could regress the returns of the 100-stock portfolio on the?returns of the 100 stocks, using the Lasso or Elastic Net(there are R packages glmnet and elasticnet?for these methods)?to zero out most of the regression?coefficients.
Vivek RaoBoston, MA
From: Alec Schmidt <aschmid1 at stevens.edu>
To: "r-sig-finance at r-project.org" <r-sig-finance at r-project.org>
Sent: Wednesday, March 7, 2018 8:55 PM
Subject: [R-SIG-Finance] Minimizing tracking error with restricted number of stocks
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.
Thanks! Alec
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