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I am trying to replicate an fixed income index in python through linear programming. Data for all bonds in the index are available as well as index values. I intend to first create a free portfolio and then use Lasso for variable selection.

Do you have any good literature or can you help me get started?

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    $\begingroup$ Perhaps look at the methodology papers of index providers such as BBG, ICE etc? $\endgroup$
    – oronimbus
    Jul 31 '21 at 9:27

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