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Journal : JAMBURA JOURNAL OF PROBABILITY AND STATISTICS

K-Means Clustering dan Mean Variance Efficient Portfolio dalam Portofolio Saham Pratama, Yogi; Sulistianingsih, Evy; Debataraja, Naomi Nessyana; Imro’ah, Nurfitri
Jambura Journal of Probability and Statistics Vol 5, No 1 (2024): Jambura Journal Of Probability and Statistics
Publisher : Department of Mathematics, Universitas Negeri Gorontalo

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.37905/jjps.v5i1.20298

Abstract

K-means clustering is one of the non-hierarchical clustering algorithms that partitions n objects into k clusters. K-means clustering is used to determine which cluster an object belongs to by calculating the proximity distance between the object and the cluster center (centroid). This research aims to form a portfolio using K-means clustering and determine the weights of the portfolio using the Mean Variance Efficient Portfolio (MVEP) method. The data analyzed in this research is the closing price data of 11 stocks in the LQ45 index from January 3, 2022, to January 3, 2023. The analysis results obtained using K-means clustering reveal the formation of two portfolios. The first portfolio consists of the stocks BMRI, INCO, INDF, INTP, and SMGR. The second portfolio consists of the stocks ADRO, ANTM, BBRI, ERAA, and UNVR. Based on the MVEP method calculation, the weights of each stock in the first portfolio are 22.74\% (BMRI), 10.11\% (INCO), 49.76\% (INDF), 18.75\% (INTP), and -1.36\% (SMGR). The calculation results of stock weights show that there is a stock weight with a negative value, which is -1.36\% for SMGR, indicating a short sale in the investment. Furthermore, the weighting results for the second portfolio are 7.08\% (ADRO), 9.62\% (ANTM), 34.05\% (BBRI), 24.80\% (ERAA), and 24.45\% (UNVR).The variance values of stock portfolio 1 and stock portfolio 2 are 0.000080 and 0.000137, respectively. From the portfolio variance results, it is known that the risk of portfolio 1 is 0.008953 and the risk of portfolio 2 is 0.011706.
Co-Authors ., Azuardi Abidin, Sholihul Adelino, Muhammad Ilham Aditya, Akmal Adrinoviarini, Adrinoviarini Agung Gumelar Agusta, Ikraam AHMADI Akbar, Gilbert Naufal Al Jabar, Andi Al Madina Alamsyah, Sukron Alfarizi, Fathir Amalina, Fitria Aminullah Aminullah, Aminullah Andhika, Imam anisa damayanti Aphira, Gery Arfimasri, Arfimasri Asmawati Asmawati Azhar, Khairul Azhari, Ridho Bukit, Emia Teta Br Cik Zulia, Cik Dany Try Hutama Hutabarat Debataraja, Naomi Nessyana Dermawan, Imam DEWI SARTIKA Erwindika, Okta Rolland Evy Sulistianingsih Farida Nur Kumala Fattah, Gebby Norsari Febrianto, Dony Ferari, Dimas Alifio Hamdani Hamdani Hendrayani, Eka Hermansyah Hermansyah Hidayat, Muhammad Fajri Hidayatullah, Roby Ilham Noor Ifanka, Ifanka imah, Kamilatun Ni'mah IMRO’AH, NURFITRI juliadi, juliadi Juwansyah, Rizky Gilang Kamaliah, Nor Khairani, Siti Miftha Khairi, Ahmad Zul Kharisah, Maulana M Hidayat M. Rafi Maharani, Dewi Maulida, Sarinah Misril Fuadi Mufandi, Ilham Muhammad Nur Kholis Muhammad Nur Kholis Mustaqim Mustova Nafiah, Ulfa Ilmiyana Nanda, Ririn Fatma Nasrah, Rasidah Nirwana, Ida Novia, Rindu Nugroho, Dani Nurhayati Nurhayati Padila, Nurul Pohan, Anggi Amanda Prayoga, Arik Rama, Yayan Rekha Asmara, Rekha Roza, Seflidiana SARI, DINA PUSPITA Simbolon, Santi Angriany Sinaga, Muhammad Sakha Siregar, Iqbal Kamil Siregar, Yusril Mahendra Siska Yulia Defitri Sriyanti, Esi Sulistyowati Sulistyowati Sumadi Susanti, Mutia Susiana Susiana SUTRIONO SUTRIONO Syafiah, Salma Putri Taruna Huda, Hidayati Tumanggor, Orli Binta Vita Sari, Friska Wahyu Indah Mursalini Widyaningtyas, Shinta Yasa, Arnelia Dwi Yeni, Afni Yulfika, Yulfika Yuniawati, Ratna Diah