Re: [R-SIG-Finance] Minimizing tracking error with restricted number of stocks

Thank you Brian, position_limit constraint - that's exactly what I needed. But then I guess that's how NP-hard problem looks like: it may need lots of resampling. Best, Alec From: Brian G. Peterson Sent: Thursday, March 8, 2018 11:13

Re: [R-SIG-Finance] Minimizing tracking error with restricted number of stocks

Alec, I do not believe that there is a closed form optimization solution for what you are trying to do. In other words, I am agreeing with Coleman et. al. That is not the same thing as saying that you can't solve it with PortfolioAnalytics. First, add a position_limit constraint setting the

Re: [R-SIG-Finance] Minimizing tracking error with restricted number of stocks

This is a very handy doc indeed. I'm not sure though that examples on #29 - #31 address the problem I'm looking into. Namely, I need minimum tracking error with explicit constraint on the number of stocks that is lower than in the benchmark portfolio. Coleman, Li, and Henniger (2004) state that

Re: [R-SIG-Finance] Minimizing tracking error with restricted number of stocks

Great presentation, thanks for sharing the link Sent from my iPad > On Mar 7, 2018, at 10:00 PM, Brian G. Peterson wrote: > >> 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