Indonesian Journal of Business Analytics (IJBA)
Vol. 1 No. 1 (2021): April, 2021

Portfolio Optimization Based on Clustering of Indonesia Stock Exchange: A Case Study of Index LQ45

Bakti Siregar (Matana University)
F. Anthon Pangruruk (Matana University)

Article Info

Publish Date
15 Apr 2022

Abstract

In general portfolio optimization is a technique for selecting the proportion of assets to make a better portfolio by maximizing the expectation return while also minimizing the risk. In this research, k-means clustering method is used to classify stocks are listed on the LQ45 Index and select stocks whose has the price tend to be increase. Then the Markowitz approach is used to analyze the performance of optimization portfolio models that have a minimum variance in expected return and risk. After understanding the performance this portfolio optimization, future works will be able to apply this model in cloud computing or artificial intelligence. In addition, investors will develop a better view of the latest performance of the stocks are listed in LQ45 index and support them decide which stocks that should be include to their portfolios, thus prevent wrong decisions.

Copyrights © 2021




Citation Download
RIS
EndNote, Reference Manager, ProCite
BibTex
Latex, Jabref
Full PDF
700.196 KB
Original Source
Download Original
Google Scholar
Check in Google Scholar
Journal Info
Indonesian Journal of Business Analytics (IJBA)
Website

Abbrev

ijba

Publisher

PT FORMOSA CENDEKIA GLOBAL

Subject

Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

Description

Indonesian Journal of Business Analytics (IJBA) is a peer-reviewed journal providing a space for both practitioners and academics for disseminating research results that work in Business Analytics and related fields. IJBA provides an outlet for the increasing flow of interdisciplinary research ...