Constructing an Investment Fund through Stock Clustering and Integer Programming
Maysam Khodayari Gharanchaei, Prabhu Prasad Panda
TL;DR
This paper presents a method combining stock clustering and integer programming to construct investment funds, demonstrated through reconstructing the NASDAQ 100 index, aiming to optimize profits and minimize risks.
Contribution
It introduces a novel approach integrating clustering and integer programming for portfolio construction, specifically applied to US stocks and ETF tracking.
Findings
Effective reconstruction of NASDAQ 100 index fund
Demonstrates potential for optimized portfolio management
Provides a data-driven tool for ETF tracking
Abstract
This paper focuses on the application of quantitative portfolio management by using integer programming and clustering techniques. Investors seek to gain the highest profits and lowest risk in capital markets. A data-oriented analysis of US stock universe is used to provide portfolio managers a device to track different Exchange Traded Funds. As an example, reconstructing of NASDAQ 100 index fund is presented.
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Taxonomy
TopicsStock Market Forecasting Methods · Risk and Portfolio Optimization