Clustering and Portfolio Optimization on LQ45 Stocks with Fuzzy C-Means and Single Index Model
Year: 2025
Type: article
Abstract: Spreading money or capital across several assets through portfolio formation is more recommended when investing in stocks. The selection of the optimal portfolio can use the Fuzzy C-Means and Single Index Model methods. This research used stock data on the LQ45 Index from January 27, 2020, to November 27, 2024, with the results of 3 portfolios formed. Portfolio 1 has members ADRO, ANTM, and PTBA with an expected return value of 0.001123 and a risk of 0.000670 with a sharpe index performance of 1.393. Portfolio 2 has members BBNI, BMRI, and INCO with an expected return value of 0.000456 and a risk of 0.000524 which has a sharpe index of 0.509. Portfolio 3 with BBCA and INKP has an expected return of 0.000343 and a risk of 0.000453 with a performance of 0.338. For investors who are very risk tolerant, it is recommended to invest in portfolio 1, and for investors who are slightly risk tolerant, portfolio 2 will be suitable, and for investor who are intolerant of risk, portfolio 3 is more suitable. Based on the results obtained in this study, it can be concluded that portfolio building through clustering from Fuzzy C-Means and continued by portfolio weighting based on the Single Index Model produces an optimal portfolio with a fairly high sharpe index performance.
Authors: Risky Gunawan, Geraldo Owen
Institution: Tanjungpura University
Language: English
Field: Decision Sciences
Domain: Social Sciences
Open Access status: diamond
OpenAlex ID: W4410758707