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Construction of Stock Portfolios Based On K-means Clustering of Continuous Trend Features Firmansyah, Hilmi; Rosadi, Dedi
Jurnal Matematika Integratif Vol 20, No 2: Oktober 2024
Publisher : Department of Matematics, Universitas Padjadjaran

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24198/jmi.v20.n2.53351.149-172

Abstract

Optimal portfolio formation to reduce investment risk and increase returns is a concern for investors. There are various problems when investing with portfolio formation. First, it is difficult to select a pool of assets for portfolio formation. When the number of potential assets is relatively large, it will be difficult to select assets that fulfill portfolio formation and appropriate weights. Traditional portfolio theory such as "Markowitz portfolio theory" is only used for the calculation of appropriate weights but cannot be used to automatically select assets from a pool of assets. Secondly, traditional portfolio theory calculates its weights only based on the covariance relationship between different stocks and market data is not taken into account.  Thirdly, the sharpe ratio calculation is used to evaluate investment returns but does not consider risk aversion when stocks go down. Therefore, this thesis aims at portfolio formation based on sustainable trend characteristics. Utilization of k-means clustering is used to group assets, divide different types of asset pools, and calculation of sharpe ratio based on sustainable trend characteristics to avoid downside risk. In addition, it is also combined with the calculation of equal weight for each asset, inverse volatility, risk parity, and Markowitz portfolio theory.
Pembentukan Portofolio Saham Berdasarkan Klastering K-Means dengan Fitur Tren Berkelanjutan Firmansyah, Hilmi; Rosadi, Dedi
Seminar Nasional Official Statistics Vol 2024 No 1 (2024): Seminar Nasional Official Statistics 2024
Publisher : Politeknik Statistika STIS

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.34123/semnasoffstat.v2024i1.2118

Abstract

Investors aim to reduce risk and increase returns with an optimal portfolio. However, several challenges arise in portfolio construction. First, selecting assets can be difficult when there are many options, as traditional portfolio theories like risk parity and Markowitz theory only calculate optimal weights but do not automatically select assets. Second, these theories focus on covariances between stocks and overlook market data. Third, while the Sharpe ratio is used to evaluate investment performance, it does not account for risk when stock prices decline. To address these issues, this paper proposes a new approach to portfolio construction that focuses on sustainable trends. The k-means clustering technique is used to group assets, categorize them based on their characteristics, and calculate the Sharpe ratio to minimize the risk of price drops. This method also combines different approaches, including equal weighting, inverse volatility, risk parity, and Markowitz portfolio theory to optimize the portfolio.
Perencanaan Perawatan Pada Mesin Crimping Manual Tipe 30 Dengan Metode RCM di Perusahaan Otomotif Andrianto, Mochammad; Sujatmiko, Agus; Firmansyah, Hilmi
Journal of Mechanical Engineering Vol. 1 No. 4 (2024): October
Publisher : Indonesian Journal Publisher

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47134/jme.v1i4.3299

Abstract

Perusahaan Otomotif merupakan perusahaan manufaktur yang bergerak memproduksi komponen otomotif salah satunya wairing hardness. Di perusahaan ini terdapat beberapa alat yang salah satunya yaitu mesin Crimping Manual Tipe 30. Dalam proses produksi, mesin Crimping Manual Tipe 30 mesin beroperasi cukup lama sehingga kerusakan dan kendala memungkin bisa terjadi setiap saat pada mesin ini. Dalam penelitian ini akan dilakukan “Analisis Perawatan Pada Mesin Crimping Manual Tipe 30 Dengan Metode Reliability Centered Maintenance di Perusahaan Otomotif”. Tujuan penelitian ini menentukan komponen kritis, nilai keandalan, dan interval perawatan. Berdasarkan pengumpulan, pengolahan, dan pembahasan data yang telah dilakukan maka di dapatkan hasil 2 komponen kritis dari mesin Crimping Manual Tipe 30 yaitu tooling part set dengan nilai keandalan 0,938, dan Motor mesin Crimping Manual Tipe 30 dengan nilai keandalan 0,972. Diharapkan adanya perawatan dengan menggunakan metode Reliability Centered Maintenance pada perusahaan otomotif ini dapat mengurangi downtime yang dialami pada mesin sehingga dapat beroperasi dengan optimal.