Stock market index enhancement via machine learning

Liangliang Zhang, Li Guo, Weiping Zhang, Tingting Ye, Qing Yang and Ruyan Tian

Emerging Markets Review, 2025, vol. 68, issue C

Abstract: Stock market index enhancement remains a widely adopted strategy among hedge funds within China’s financial market. The underlying algorithm aims to fine-tune the weightings of individual stocks within a benchmark index, thereby enhancing the performance of the target portfolio relative to its original benchmark.

Keywords: Stock market index enhancement; Machine learning regression; Clustering algorithm; Monte Carlo simulation; Constrained convex optimization (search for similar items in EconPapers)
JEL-codes: C30 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:68:y:2025:i:c:s1566014125000743

DOI: 10.1016/j.ememar.2025.101325

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