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 <[email protected]>
To: "[email protected]" <[email protected]>
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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