G'day all

I'm brand new to this mailing list and still something of a novice in equity portfolio design. So apologies if you get this question all too often.

I'm after suggestions for the design of simple index-tracking models. I have access to good clean data, and I am trying to cook up portfolios which replicate indices with a minimum number of long positions when rebalancing is done daily. Although I am particularly interested in clustering algorithms that might be useful for this purpose, I'd welcome alternative suggestions as well.

With thanks in advance.

Best regards
Luke Gower


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