Minimizing tracking error with restricted number of stocks
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
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. >> > > _______________________________________________ > 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. _______________________________________________ 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.