key features

Tracking Error Constraints

Description

Constrain the predicted tracking error of the portfolio from some benchmark. This is computed from the predicted variance matrix.

Implementation

The bench.constraint argument (as in benchmark constraint) performs this in Portfolio Probe.

Lower bounds as well as upper bounds are allowed.

It is very easy to specify a tracking error constraint against more than one benchmark. Setting dual tracking error constraints is trivial.

Other key features

Generate Random Portfolios

Portfolio Optimization

Utility-free Optimization

Contraints and flexibility

Transaction Costs

Computing Engine

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