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

[Brian G. Peterson]

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.

--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock

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

[Alec Schmidt]

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, 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.

--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock

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

[Brian G. Peterson]

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  on behalf of Brian G. 
Peterson 
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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[R-SIG-Finance] Minimizing tracking error with restricted number of stocks

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

[Vivek Rao via R-SIG-Finance]

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 
 To: "r-sig-finance@r-project.org"  
 Sent: Wednesday, March 7, 2018 8:55 PM
 Subject: [R-SIG-Finance] Minimizing tracking error with restricted number of 
stocks
   
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

    [[alternative HTML version deleted]]

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