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Constructing an Investment Fund through Stock Clustering and Integer Programming

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  • Maysam Khodayari Gharanchaei
  • Prabhu Prasad Panda

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.

Suggested Citation

  • Maysam Khodayari Gharanchaei & Prabhu Prasad Panda, 2024. "Constructing an Investment Fund through Stock Clustering and Integer Programming," Papers 2407.05912, arXiv.org.
    • Handle: RePEc:arx:papers:2407.05912
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    References listed on IDEAS

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    1. Victor DeMiguel & Lorenzo Garlappi & Raman Uppal, 2009. "Optimal Versus Naive Diversification: How Inefficient is the 1-N Portfolio Strategy?," The Review of Financial Studies, Society for Financial Studies, vol. 22(5), pages 1915-1953, May.
    2. Elton, Edwin J & Gruber, Martin J, 1973. "Estimating the Dependence Structure of Share Prices-Implications for Portfolio Selection," Journal of Finance, American Finance Association, vol. 28(5), pages 1203-1232, December.
    3. Anderson, Robert M. & Bianchi, Stephen W. & Goldberg, Lisa R., 2012. "Will My Risk Parity Strategy Outperform?," Department of Economics, Working Paper Series qt23t2s950, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
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