通过股票聚类和整数编程构建投资基金

arXiv - QuantFin - Portfolio Management Pub Date : 2024-04-27 DOI:arxiv-2407.05912

Maysam Khodayari Gharanchaei, Prabhu Prasad Panda

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摘要

本文重点介绍利用整数编程和聚类技术进行量化投资组合管理的应用。投资者在资本市场上追求最高利润和最低风险。本文通过对美国股票市场的数据分析，为投资组合经理提供了跟踪不同交易所交易基金的工具。以纳斯达克 100 指数基金的重构为例进行介绍。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Constructing an Investment Fund through Stock Clustering and Integer Programming

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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arXiv - QuantFin - Portfolio Management

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