Message-ID: <1520474119352.56010@stevens.edu>
Date: 2018-03-08T01:55:18Z
From: Alec Schmidt
Subject: 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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