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Identify Optimal Worst-Of Baskets

 

The 100 largest Swiss stocks → 161,700 possible 3-stock baskets
for selecting Worst-Of Reverse Convertibles

  • Identify baskets with low correlation (e.g., <0.20)

  • Exclude specific sectors (e.g., "Financials")

  • Filter for volatility (e.g., basket vol >30%)

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Demo

Identify optimal Worst-of baskets others overlook.
Lower correlation. Superior combinations.
 

Switzerland:

The 100 largest Swiss stocks

→ 161,700 possible 3-stock baskets

​

Europe:

All 600 stocks in the Stoxx 600 Europe™

→ 35,820,200 possible 3-stock baskets

​

World:

All 1,319 stocks in the MSCI World Index™
→ 381,588,019 possible 3-stock baskets

 

 

Franco Arda, Ph.D.
Swiss data engineer and analytics specialist. Expert in large-scale data processing (Microsoft Fabric, PySpark, Power BI), with experience spanning structured products (Deutsche Bank, BNP Paribas) and enterprise data solutions (Daimler, DHL, Swisscom).

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Contact:

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