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 <aschm...@stevens.edu>
 To: "r-sig-finance@r-project.org" <r-sig-finance@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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