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:

https://rossb34.github.io/PortfolioAnalyticsPresentation2017/#1

Tracking Error example starts on slide 29, though you should find the rest of the tutorial useful.

- Brian

________________________________________
From: R-SIG-Finance <r-sig-finance-boun...@r-project.org> on behalf of Brian G. 
Peterson <br...@braverock.com>
Sent: Wednesday, March 7, 2018 9:14 PM
To: r-sig-finance@r-project.org
Subject: Re: [R-SIG-Finance]  Minimizing tracking error with restricted number 
of stocks

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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