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Hasih Pratiwi
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Study Program of Statistics, Universitas Sebelas Maret, Surakarta 57126, Indonesia
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INDONESIA
Indonesian Journal of Applied Statistics
Published by Universitas Sebelas Maret
ISSN : -     EISSN : 2621086X     DOI : https://doi.org/10.13057/ijas
Core Subject : Economy, Science, Agriculture, Social,
Agriculture, Biological Sciences & Forestry Computer Science & IT Earth & Planetary Sciences Economics, Econometrics & Finance Environmental Science
Indonesian Journal of Applied Statistics (IJAS) is a journal published by Study Program of Statistics, Universitas Sebelas Maret, Surakarta, Indonesia. This journal is published twice every year, in May and November. The editors receive scientific papers on the results of research, scientific studies, and problem solving research using statistical method. Received papers will be reviewed to assess the substance of the material feasibility and technical writing.
Arjuna Subject : Matematika - Statistik dan Probabilitas
Articles 11 Documents
 1   2 
Search results for , issue "Vol 6, No 1 (2023)" : 11 Documents clear
K-Medoids Clustering dan Mean-Value at Risk untuk Optimasi Portofolio Saham Jakarta Islamic Index Eka Sri Puspaningsih; Di Asih I Maruddani; Tarno Tarno
Indonesian Journal of Applied Statistics Vol 6, No 1 (2023)
Publisher : Universitas Sebelas Maret

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.13057/ijas.v6i1.79231

Abstract

The problem of the portfolio is how to choose stocks and determine their weights in order to generate maximum returns with minimal risk. Portfolios are formed by selecting stocks that have different characteristics. K-Medoids Clustering can be used to group data sets that contain outliers. Validate cluster results using the Davies Bouldin Index to determine the best number of clusters. Portfolio weighting is determined using the Mean-VaR method by taking into account the expected return value and minimizing the VaR risk value. Stocks are grouped based on Return on Assets, Return on Equity, Debt to Asset Ratio, and Debt to Equity Ratio. The results of cluster formation on the Jakarta Islamic Index stocks obtained six portfolio constituent stocks based on the highest expected return value from each cluster, consisting of PTBA, ADRO, AKRA, EXCL, PTPP, and UNVR. The results of calculating the weight of the optimal portfolio with Mean-VaR obtained a weight for PTBA of 0.46536; AKRA of 0.24018; EXCL of 0.25421; and UNVR of 0.25392. ADRO and PTPP stocks have a negative weight value of -0,07775 and -0,13593 this indicates the occurrence of short selling in the weighting. At the 95% confidence level, the VaR portfolio value is 5.06%.Keywords: Clustering; K-Medoids; Daveis Bouldin Index; Portfolio; Mean-VaR

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