Constructing an Investment Fund through Stock Clustering and Integer Programming

Maysam Khodayari Gharanchaei and Prabhu Prasad Panda

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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.

Date: 2024-04
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Published in Journal of Advancements in Applied Business Research, June 2024

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2407.05912

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