ACADSTAFF UGM

CREATION
Title : A New Approach for Robust Mean-Variance Portfolio Selection Using Trimmed k-Means Clustering
Author :

LA GUBU (1) Prof. Dr.rer.nat. Dedi Rosadi, S.Si., M.Sc. (2) Dr. Abdurakhman (3)
Date : 1 2021
Keyword : Clustering, Trimmed k-Means, Sharpe Ratio, Robust Estimation, Robust Portfolio Clustering, Trimmed k-Means, Sharpe Ratio, Robust Estimation, Robust Portfolio
Abstract : In this study, we consider the data preprocessing using trimmed k-means clustering for robust mean-variance portfolio selection. The proposed method trims the outliers in the data preprocessing stage. The optimum portfolio is formed by selecting the stock representation for each cluster using the Sharpe ratio. The optimum portfolio formation is accom- plished by robust fast minimum covariance determinant (FMCD) and robust S mean-variance (MV) portfolio model. In the empirical experiment, we use fundamental trading data for the year 2017 (to form the clusters) and daily closing price data of LQ45 index stocks from August 2017 to July 2018 taken from the Indonesian Stock Exchange to form the optimum portfolio. As benchmark for portfolio performance formed in this study, we use the performance of the Indonesia Composite Index (ICI). The results reveal that the proposed method can reliably obtain the optimum portfo- lio and solve the outliers problem. Moreover, the comparison stage shows that the combination of trimmed k-means clustering and robust portfolio model is better in forming the optimum portfolio than the combination of k-means clus- tering and robust MV portfolio model. Finally, we also find that the combination of trimmed k-means clustering (with α=10%) and robust FMCD MV portfolio model outperforms portfolios produced by other methods.
Group of Knowledge : Statistik
Original Language : English
Level : Internasional
Status :
Published
Document
No Title Document Type Action
1 IEMS lagubu.pdf
Document Type : [PAK] Full Dokumen
[PAK] Full Dokumen View
2 L1 lagubu iems 2021.pdf
Document Type : Dokumen Pendukung Karya Ilmiah (Hibah, Publikasi, Penelitian, Pengabdian)
Dokumen Pendukung Karya Ilmiah (Hibah, Publikasi, Penelitian, Pengabdian) View
3 Similarity Jurnal La Gubu A New Approach for Robust Mean Variance.pdf
Document Type : [PAK] Cek Similarity
[PAK] Cek Similarity View
4 2021 iems lagubu.pdf
Document Type : [PAK] Bukti Korespondensi Penulis
[PAK] Bukti Korespondensi Penulis View