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
Thank you Brian. I searched PortfolioAnalytics.pdf for 'tracking' but didn't
find one. Are there any implementation examples?
From: R-SIG-Finance on behalf of Brian G.
Peterson
Sent: Wednesday,
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
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
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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