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.

Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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