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arXiv · 2407.05912

Constructing an Investment Fund through Stock Clustering and Integer Programming

Maysam Khodayari Gharanchaei·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.

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Maysam Khodayari Gharanchaei, Prabhu Prasad Panda. 2024-04-27. Constructing an Investment Fund through Stock Clustering and Integer Programming. https://arxiv.org/abs/2407.05912

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