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 futures segment i was incurring some slippage cost which might turn up into loss. Is ther any aother method of emulating the index apart from taking positins in all the stocks. Maybe by varying the weights in few stocks an index can be emulated with acceptable level of tracking error.Someone plis enlighten on how to approach the problem.Apart from the above mentioned problem I also have some academic interest also to know whetehr any research work has been done in this field, whereby an index is being emulated with fewer no. of stocks.And if so what is the result ?