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 [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance@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.