I would appreciate hearing your views on whether solving the problem below is possible in STATA.
I am looking to find a portfolio of uncorrelated instruments. The portfolio should be as large as possible, from a population of 250 instruments available. Here "uncorrelated" refers to any correlation between -0.03 and 0.03.
The difficulty is that for each uncorrelated pair, I need to identify a third element which has low corr with either element in the pair, then add fourth, then fifth, etc. until I can no longer find any instruments to add. Doing this manually can take hours to process all the possible combinations, so I am hoping there is a STATA code that can achieve the result.
I attach a sample .csv file of 250 instruments with daily returns over last year.
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