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

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

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,

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

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

[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]]

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

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