How to cite this paper
Ridwan, A., Napitupulu, H & Sukono, S. (2022). Decision-making in formation of mean-VaR optimal portfolio by selecting stocks using K-means and average linkage clustering.Decision Science Letters , 11(4), 431-442.
Refrences
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Anggara, A. W., & Yulianto, A. (2017). Analisis Kinerja Reksa Dana Saham dengan Metode Sharpe, Treynor dan Jensen. Management Analysis Journal, 6(1), 13–22.
Arimarista, L. (2017). Expected Return dan Risiko Saham LQ-45 untuk Pengambilan Keputusan Investasi serta Pembentukan Portofolio Optimal (Capital Asset Pricing Model). Journal of Accounting Science, 1(1), 62–70. https://doi.org/10.21070/jas.v1i1.776
Azis, M., & Purnamasari, I. (2017). Analisis Kinerja Portofolio Reksadana dengan Metode Rasio Sharpe dan Non Risk Premium. Prosiding Seminar Nasional Manajemen Dan Ekonomi Bisnis, 1(1), 246–264.
Bhattacharjee, B., Shafi, M., & Acharjee, A. (2019). Network Mining Based Elucidation of The Dynamics of Cross-Market Clustering and Connectedness in Asian Region: An MST and Hierarchical Clustering Approach. Journal of King Saud University - Computer and Information Sciences, 31(2), 218–228. https://doi.org/10.1016/j.jksuci.2017.11.002
Bienvenido-Huertas, D., Marín-García, D., Carretero-Ayuso, M. J., & Rodríguez-Jiménez, C. E. (2021). Climate Classification for New and Restored Buildings in Andalusia: Analysing the Current Regulation and A New Approach based on K-Means. Journal of Building Engineering, 43, 102829. https://doi.org/10.1016/j.jobe.2021.102829
Cebeci, Z., & Yildiz, F. (2015). Comparison of K-Means and Fuzzy C-Means Algorithms on Different Cluster Structures. Journal of Agricultural Informatics, 6(3), 13–23. https://doi.org/10.17700/jai.2015.6.3.196
Chairunnisa, C. A., Yozza, H., & Devianto, D. (2018). Pengukuran Nilai Risiko Portofolio berdasarkan Mean-VaR. Jurnal Matematika UNAND, 7(1), 24. https://doi.org/10.25077/jmu.7.1.24-32.2018
Corporal-Lodangco, I. L., Richman, M. B., Leslie, L. M., & Lamb, P. J. (2014). Cluster Analysis of North Atlantic Tropical Cyclones. Procedia Computer Science, 36(C), 293–300. https://doi.org/10.1016/j.procs.2014.09.096
Ediyanto, Mara, N., & Satyahadewi, N. (2013). Pengklasifikasian Karakteristik Dengan Metode K-Means Cluster Analysis. Buletin Ilmiah Mat. Stat. Dan Terapannya (Bimaster), 02(2), 133–136.
Eliguzel, I. M., & Ozceylan, E. (2019). Comparison of Different Clustering Methods for Cellular Manufacturing: A Case of Gym Centre. Procedia Computer Science, 158, 1–8. https://doi.org/10.1016/j.procs.2019.09.021
Hidayati, A. N. (2017). Investasi : Analisis dan Relevansinya dengan Ekonomi Islam. Jurnal Ekonomi Islam, 8(2), 227–242.
IDX. (2021). IDX Stock Index Handbook V1.2. Indonesia Stock Exchange. https://www.idx.co.id/media/9816/idx-stock-index-handbook-v12-_-januari-2021.pdf
Ismanto, H. (2016). Analisis Value at Risk dalam Pembentukan Portofolio Optimal (Studi Empiris pada Saham-saham). University Research Colloquium 2016, 3(1), 243–255.
Jiang, K., Li, D., Gao, J., & Yu, J. X. (2014). Factor Model Based Clustering Approach for Cardinality Constrained Portfolio Selection. IFAC Proceedings, 19(3), 10713–10718. https://doi.org/10.3182/20140824-6-za-1003.00663
Kumari, S. K., Kumar, P., Priya, J., Surya, S., & Bhurjee, A. K. (2019). Mean-Value at Risk Portfolio Selection Problem using Clustering Technique : A Case Study. AIP Conference Proceedings, 2112(020178), 1–7.
Madhulatha, T. S. (2012). An overview of clustering methods. IOSR Journal of Engineering, 2(4), 719–725. https://doi.org/10.3233/ida-2007-11602
Markowitz, H. (1952). Portofolio Selection. Journal of Finance, 7(1), 77–91. https://doi.org/10.2307/2345307
Naeem, S., & Wumaier, A. (2018). Study and Implementing K-mean Clustering Algorithm on English Text and Techniques to Find the Optimal Value of K. International Journal of Computer Applications, 182(31), 7–14. https://doi.org/10.5120/ijca2018918234
Safelia, N. (2012). Konsep Dasar Keputusan Investasi dan Portofolio. Jurnal Manajemen Terapan Dan Keuangan, 1(3), 217–226.
Setyawati, I. (2011). Perdagangan Saham Kaitannya dengan Perolehan Expected Return pada Bursa Efek Indonesia. Jurnal Ilmiah Manajemen STIMA KOSGORO, 17(1), 31–41.
Subekti, R., Kusumawati, R., & Sari, E. R. (2017). K-Means Clustering dan Average Linkage dalam Pembentukan Portfolio Saham. Seminar Matematika Dan Pendidikan Matematika UNY 2017, 219–224.
Sukono, Lesmana, E., Napitupulu, H., Hidayat, Y., Saputra, J., & Ghazali, P. L. B. (2019). Mean-var portfolio optimisations: An application of multiple index models with non-constant volatility and long memory effects. International Journal of Innovation, Creativity and Change, 9(12), 364–381.
Sukono, Sidi, P., Bon, A. T. Bin, & Supian, S. (2017). Modeling of Mean-VaR Portfolio Optimization by Risk Tolerance when The Utility Function is Quadratic. AIP Conference Proceedings, 1827(020035). https://doi.org/10.1063/1.4979451
Sulistiyowati, E., & Santoso, B. H. (2017). Analisis Portofolio Optimal berdasarkan Model Indeks Tunggal pada Perusahaan Property and Real Estate. Jurnal Ilmu Dan Riset Manajemen, 6(5), 1–17.
Utami, M. P., Saepudin, D., & Rohmawati, A. A. (2019). Pengaruh Teknik Clustering Harga Saham dalam Manajemen Portofolio. E-Proceeding of Engineering, 6(1), 2491–2509.
Widyadhana, D., Hastuti, R. B., Kharisudin, I., & Fauzi, F. (2021). Perbandingan Analisis Klaster K-Means dan Average Linkage untuk Pengklasteran Kemiskinan di Provinsi Jawa Tengah. PRISMA, Prosiding Seminar Nasional Matematika 4, 4, 584–594.
Xu, N., Finkelman, R. B., Dai, S., Xu, C., & Peng, M. (2021). Average Linkage Hierarchical Clustering Algorithm for Determining the Relationships between Elements in Coal. ACS Omega, 6(9), 6206–6217. https://doi.org/10.1021/acsomega.0c05758
Yusniyanti, A. L., Virgantari, F., & Faridhan, Y. E. (2021). Comparison of Average Linkage and K-Means Methods in Clustering Indonesia’s Provinces Based on Welfare Indicators. Journal of Physics: Conference Series, 1863(1), 1–10. https://doi.org/10.1088/1742-6596/1863/1/012071
Anggara, A. W., & Yulianto, A. (2017). Analisis Kinerja Reksa Dana Saham dengan Metode Sharpe, Treynor dan Jensen. Management Analysis Journal, 6(1), 13–22.
Arimarista, L. (2017). Expected Return dan Risiko Saham LQ-45 untuk Pengambilan Keputusan Investasi serta Pembentukan Portofolio Optimal (Capital Asset Pricing Model). Journal of Accounting Science, 1(1), 62–70. https://doi.org/10.21070/jas.v1i1.776
Azis, M., & Purnamasari, I. (2017). Analisis Kinerja Portofolio Reksadana dengan Metode Rasio Sharpe dan Non Risk Premium. Prosiding Seminar Nasional Manajemen Dan Ekonomi Bisnis, 1(1), 246–264.
Bhattacharjee, B., Shafi, M., & Acharjee, A. (2019). Network Mining Based Elucidation of The Dynamics of Cross-Market Clustering and Connectedness in Asian Region: An MST and Hierarchical Clustering Approach. Journal of King Saud University - Computer and Information Sciences, 31(2), 218–228. https://doi.org/10.1016/j.jksuci.2017.11.002
Bienvenido-Huertas, D., Marín-García, D., Carretero-Ayuso, M. J., & Rodríguez-Jiménez, C. E. (2021). Climate Classification for New and Restored Buildings in Andalusia: Analysing the Current Regulation and A New Approach based on K-Means. Journal of Building Engineering, 43, 102829. https://doi.org/10.1016/j.jobe.2021.102829
Cebeci, Z., & Yildiz, F. (2015). Comparison of K-Means and Fuzzy C-Means Algorithms on Different Cluster Structures. Journal of Agricultural Informatics, 6(3), 13–23. https://doi.org/10.17700/jai.2015.6.3.196
Chairunnisa, C. A., Yozza, H., & Devianto, D. (2018). Pengukuran Nilai Risiko Portofolio berdasarkan Mean-VaR. Jurnal Matematika UNAND, 7(1), 24. https://doi.org/10.25077/jmu.7.1.24-32.2018
Corporal-Lodangco, I. L., Richman, M. B., Leslie, L. M., & Lamb, P. J. (2014). Cluster Analysis of North Atlantic Tropical Cyclones. Procedia Computer Science, 36(C), 293–300. https://doi.org/10.1016/j.procs.2014.09.096
Ediyanto, Mara, N., & Satyahadewi, N. (2013). Pengklasifikasian Karakteristik Dengan Metode K-Means Cluster Analysis. Buletin Ilmiah Mat. Stat. Dan Terapannya (Bimaster), 02(2), 133–136.
Eliguzel, I. M., & Ozceylan, E. (2019). Comparison of Different Clustering Methods for Cellular Manufacturing: A Case of Gym Centre. Procedia Computer Science, 158, 1–8. https://doi.org/10.1016/j.procs.2019.09.021
Hidayati, A. N. (2017). Investasi : Analisis dan Relevansinya dengan Ekonomi Islam. Jurnal Ekonomi Islam, 8(2), 227–242.
IDX. (2021). IDX Stock Index Handbook V1.2. Indonesia Stock Exchange. https://www.idx.co.id/media/9816/idx-stock-index-handbook-v12-_-januari-2021.pdf
Ismanto, H. (2016). Analisis Value at Risk dalam Pembentukan Portofolio Optimal (Studi Empiris pada Saham-saham). University Research Colloquium 2016, 3(1), 243–255.
Jiang, K., Li, D., Gao, J., & Yu, J. X. (2014). Factor Model Based Clustering Approach for Cardinality Constrained Portfolio Selection. IFAC Proceedings, 19(3), 10713–10718. https://doi.org/10.3182/20140824-6-za-1003.00663
Kumari, S. K., Kumar, P., Priya, J., Surya, S., & Bhurjee, A. K. (2019). Mean-Value at Risk Portfolio Selection Problem using Clustering Technique : A Case Study. AIP Conference Proceedings, 2112(020178), 1–7.
Madhulatha, T. S. (2012). An overview of clustering methods. IOSR Journal of Engineering, 2(4), 719–725. https://doi.org/10.3233/ida-2007-11602
Markowitz, H. (1952). Portofolio Selection. Journal of Finance, 7(1), 77–91. https://doi.org/10.2307/2345307
Naeem, S., & Wumaier, A. (2018). Study and Implementing K-mean Clustering Algorithm on English Text and Techniques to Find the Optimal Value of K. International Journal of Computer Applications, 182(31), 7–14. https://doi.org/10.5120/ijca2018918234
Safelia, N. (2012). Konsep Dasar Keputusan Investasi dan Portofolio. Jurnal Manajemen Terapan Dan Keuangan, 1(3), 217–226.
Setyawati, I. (2011). Perdagangan Saham Kaitannya dengan Perolehan Expected Return pada Bursa Efek Indonesia. Jurnal Ilmiah Manajemen STIMA KOSGORO, 17(1), 31–41.
Subekti, R., Kusumawati, R., & Sari, E. R. (2017). K-Means Clustering dan Average Linkage dalam Pembentukan Portfolio Saham. Seminar Matematika Dan Pendidikan Matematika UNY 2017, 219–224.
Sukono, Lesmana, E., Napitupulu, H., Hidayat, Y., Saputra, J., & Ghazali, P. L. B. (2019). Mean-var portfolio optimisations: An application of multiple index models with non-constant volatility and long memory effects. International Journal of Innovation, Creativity and Change, 9(12), 364–381.
Sukono, Sidi, P., Bon, A. T. Bin, & Supian, S. (2017). Modeling of Mean-VaR Portfolio Optimization by Risk Tolerance when The Utility Function is Quadratic. AIP Conference Proceedings, 1827(020035). https://doi.org/10.1063/1.4979451
Sulistiyowati, E., & Santoso, B. H. (2017). Analisis Portofolio Optimal berdasarkan Model Indeks Tunggal pada Perusahaan Property and Real Estate. Jurnal Ilmu Dan Riset Manajemen, 6(5), 1–17.
Utami, M. P., Saepudin, D., & Rohmawati, A. A. (2019). Pengaruh Teknik Clustering Harga Saham dalam Manajemen Portofolio. E-Proceeding of Engineering, 6(1), 2491–2509.
Widyadhana, D., Hastuti, R. B., Kharisudin, I., & Fauzi, F. (2021). Perbandingan Analisis Klaster K-Means dan Average Linkage untuk Pengklasteran Kemiskinan di Provinsi Jawa Tengah. PRISMA, Prosiding Seminar Nasional Matematika 4, 4, 584–594.
Xu, N., Finkelman, R. B., Dai, S., Xu, C., & Peng, M. (2021). Average Linkage Hierarchical Clustering Algorithm for Determining the Relationships between Elements in Coal. ACS Omega, 6(9), 6206–6217. https://doi.org/10.1021/acsomega.0c05758
Yusniyanti, A. L., Virgantari, F., & Faridhan, Y. E. (2021). Comparison of Average Linkage and K-Means Methods in Clustering Indonesia’s Provinces Based on Welfare Indicators. Journal of Physics: Conference Series, 1863(1), 1–10. https://doi.org/10.1088/1742-6596/1863/1/012071