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Is there any research work in this field where in the line of optimum portfolio management theory..there is an optimum portfolio which will follow the index most accurately? I think there should be some research work in the field of variance minimization..where the variance of the index tracking...

what i mean is that in few emerging markets all the stocks are not available for trading in futures segment. That is why if i take position in index i cant take reverse position in all the stocks constituting the index ( due to the unavailability of few of them in futures segment) .This creates...

I am arbitraging between index and the stocks which constitutes the index. whenever i find that index futures is over/underpriced..i short/long the future and take the reverse position in the stocks constituting the index .But since all the stocks constituting the index are not available in...