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.

Reply via email to