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All Journal JURNAL MATEMATIKA STATISTIKA DAN KOMPUTASI
Fauziah Roshafara
Program Studi Statistika, Universitas Islam Bandung
Mathematics

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Penerapan K-Means Cluster untuk Pembentukan Portofolio Model Black-Litterman Fitri Amanah; Fauziah Roshafara; Puri Indah Lestari; Salwa Salsabila; Renita Maharani
Jurnal Matematika, Statistika dan Komputasi Vol. 20 No. 3 (2024): May 2024
Publisher : Department of Mathematics, Hasanuddin University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20956/j.v20i3.34165

Abstract

A portfolio in finance is a collection of investment assets that aims to reduce risk by spreading investment across various assets. In building a portfolio, cluster analysis is used to select assets. K-Means cluster is often used because it is considered efficient for handling large data. In addition, the Black-Litterman Model is used because it can combine investor knowledge into asset allocation efficiently, so that the portfolio becomes more diverse, stable and adaptive to economic conditions, and reflects the investment manager's views. The research results show that k-means cluster analysis can be applied in forming the Black-Litterman model portfolio. Two clusters were obtained, namely cluster I consisting of ADRO, AKRA, BRMS, MIKA, TLKM, UNVR shares, and cluster II consisting of INDF, INKP, SMGR, UNTR. The two clusters were then formed into portfolios I and II. The calculation of expected return and portfolio risk shows that portfolio II produces profits (expected return portfolio) that are greater than portfolio I, namely 0.04445 or IDR 4.445.344,00, and the risk level of portfolio II is also smaller than portfolio I, namely 0.02104 or IDR 2.104.400,00
Co-Authors Fitri Amanah Puri Indah Lestari Renita Maharani Salwa Salsabila