A Clustering Method Approach for Portfolio Optimization

Fadilah, Iwan; Witiastuti, Rini Setyo

doi:10.15294/maj.v7i4.23378

Cited by 2 publications

(2 citation statements)

References 7 publications

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“…In recent years, in Indonesia, there has been increasing demand for investment in the capital market because the capital market identifies two interests, namely those who have excess funds and those who need funds. (Fadilah & Witiastuti, 2018). Brigham and Houston (2015) Alternative funding from within the company's profits comes from companies that have been arrested, while funds from outside companies can become debt creditors as well as the nature of funding in the form of shares equity.…”

Section: Introductionmentioning

confidence: 99%

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Investment Portfolio Optimization Model with Mean-Std Deviation

Putri¹,

Suyudi²,

Sulaiman³

2022

ijqrm

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Stock investment is an investment in securities with the hope of getting profits in the future. Investors are expected to make a series of portfolios to get optimal results from investments. This discussion aims to find the weight of the funds invested along with the returns and risks. The method used is the mean + std deviation. The results of this portfolio optimization show that the risk aversion coefficient is 0.1. The optimum weight for investment in each company is KLBF (22.67%), PGAS (8.796%), BBCA (41.77%), ASII (8, 24%), and SMAR (18.52%) with a maximum ratio of 8.8% of a return of 0.0881% and a risk of 1.0009%. The results of this portfolio optimization are expected to help investors by dividing the number of funds to be invested by the return and risk.

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Section: Introductionmentioning

confidence: 99%

“…Still, investors can reduce unsystematic risk through diversification by forming a portfolio so that the risks borne by investors can be minimized. (Fadilah & Witiastuti, 2018).…”

Section: Introductionmentioning

confidence: 99%

Investment Portfolio Optimization Model with Mean-Std Deviation

Putri¹,

Suyudi²,

Sulaiman³

2022

ijqrm

View full text Add to dashboard Cite

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Fuzzy clustering approach to portfolio management considering ESG criteria: empirical evidence from the investment strategies of the EURO STOXX Index

Kaminskyi,

Nehrey

2023

NFMTE

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Environmental, social and governance (ESG) criteria are becoming increasingly important in the construction of investment portfolios. Analysis of the investment markets confirms that these criteria are being actively integrated into investment strategies. This paper presents our approach to incorporating ESG criteria into the portfolio construction process based on an index investment strategy. This strategy is enhanced by the inclusion of ESG criteria in the form of ESG scoring. Investment portfolio construction focuses on the application of three criteria: maximizing ESG score, minimizing risk and maximizing expected return. Our approach applies a fuzzy clustering toolkit to the set of index components. In the resulting fuzzy clusters, their core part (companies that do not belong to other clusters) and the fuzzy part are separated. The proposed investment strategy involves the construction of portfolios with a variation of the components of the fuzzy part. A VAWI (Value Added Weekly Index) curve is designed for each portfolio. The optimal strategy is implemented by constructing and reconstructing portfolios according to the upper line of the VAWI set. This investment strategy is demonstrated using the example of the EURO STOXX 50 index, which includes large companies from 11 Eurozone countries.

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A Clustering Method Approach for Portfolio Optimization

Cited by 2 publications

References 7 publications

Investment Portfolio Optimization Model with Mean-Std Deviation

Investment Portfolio Optimization Model with Mean-Std Deviation

Fuzzy clustering approach to portfolio management considering ESG criteria: empirical evidence from the investment strategies of the EURO STOXX Index

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