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.
@article{arxiv.2407.05912,
title = {Constructing an Investment Fund through Stock Clustering and Integer Programming},
author = {Maysam Khodayari Gharanchaei and Prabhu Prasad Panda},
journal= {arXiv preprint arXiv:2407.05912},
year = {2024}
}