On 03/07/2018 08:39 PM, Alec Schmidt wrote:
Thank you Brian. I searched PortfolioAnalytics.pdf for 'tracking' but didn't
find one. Are there any implementation examples?
See Ross Bennett's tutorial from R/Finance 2017:
Tracking Error example starts on slide 29, though you should find the
rest of the tutorial useful.
From: R-SIG-Finance <r-sig-finance-boun...@r-project.org> on behalf of Brian G.
Sent: Wednesday, March 7, 2018 9:14 PM
Subject: Re: [R-SIG-Finance] Minimizing tracking error with restricted number
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.
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