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All Journal BIMASTER JAMBURA JOURNAL OF PROBABILITY AND STATISTICS
IMRO’AH, NURFITRI
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Computer Science & IT Decision Sciences, Operations Research & Management Environmental Science Mathematics Social Sciences

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Journal : JAMBURA JOURNAL OF PROBABILITY AND STATISTICS

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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 Aipassa, Ezra Amarya Andani, Wirda Aprizkiyandari, Siti Asmara, Mira Bertiani, Marsela Dian Clarenda Siboro, Viren Marcellya Dadan Kusnandar Deanovela, Adelea Delvi Debataraja, Naomi Nessyana Dyaherawati, Oktavia Evy Sulistianingsih Fiqriani, Rizha Aynul Gunawan, Sucipto Haulia, Khofifah Hendra Perdana HUDA, NUR’AINUL MIFTAHUL Indra Satria, Tan Ade Kamila, Diva Rahma Martha, Shantika Mawaddah Mawaddah, Mawaddah Meilandra, Irvan Melvin, Melvin Neva Satyahadewi Nurhaliza, Sy. Farini Pramesti, Surya Adinda Fitria Pratama, Yogi Priani, Wina Ramadhania, Wahida Reho, Stepanus Rifqi, Bhima Fairul Riovani, Vriska Dwi Riswanda, Giovani Parasta Selvia, Eva Sesilisvana, Nevil Wati, Setio Kusumo Wicaksono, Juwan Prioabil Dwi Wulan, Elisabet Yulianti, Siska