Hi all,
Let's assume that I have available historical data and I am asked to implement a prototype trading strategy using basket trading.
More concretely, I need to solve the problem of ranking the shares included in the S&P500 index once a period using a list - or pair-wise approach. Market-neutral portfolio should be generated based on the resulting ranking. Ranking can be performed within specific sectors.
Who faced with such an approach ? Any thoughts how this task can be solved ?