11:13 AM
To: Alec Schmidt; Jason Hart
Cc: R-SIG-Finance
Subject: 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
ject.org> on behalf
> of Jason Hart <jasonha...@icloud.com>
> Sent: Thursday, March 8, 2018 9:46 AM
> To: Brian G. Peterson
> Cc: R-SIG-Finance
> Subject: Re: [R-SIG-Finance] Minimizing tracking error with
> restricted number of stocks
>
> Great presentation, tha
day, March 8, 2018 9:46 AM
To: Brian G. Peterson
Cc: R-SIG-Finance
Subject: 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 <br...@braverock.com&
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:
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
t: 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 mini
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
