A stock portfolio plays an important role in managing risk and achieving optimal returns in volatile markets. This study proposes an integrated framework that combines K-Means Clustering, Mean Absolute Deviation (MAD), and the Sortino Ratio. The main contribution lies in linking clustering-based asset selection with downside risk optimization and evaluation, enabling portfolio construction that accounts for asset similarity, risk measurement, and investor-oriented performance assessment. This approach addresses the limitation of previous studies that apply these methods separately by providing a more structured basis for downside risk-adjusted portfolio selection. Using daily IDX30 stock data from June 2024 to June 2025, samples were selected based on index consistency. The results indicate that a portfolio of ANTM and INDF achieved the highest Sortino Ratio of 0.2179. These findings suggest that combining high-return stocks with moderate volatility, supported by clustering and downside risk optimization, can improve downside risk-adjusted performance, providing practical guidance for investors.
Rifki Pebriyandi, E. Sulistianingsih, Hendra Perdana et al.· ZERO Jurnal Sains Matematika...· 0 citations
This research aims to construct an optimal stock portfolio from the Kompas100 index using stock performance indicators, fundamental indicators, K-Means, TOPSIS, and portfolio optimization. Of the 100 stocks, only 22 were suitable as candidates for portfolio formation. From these 22 stocks, 4 portfolio candidates were identified through K-means analysis and 7 through TOPSIS analysis. The next step was to determine the investment proportion for each stock in the portfolio using MVEP and MAD. Performance evaluation results show that Portfolio 4, consisting of PTRO and WIFI stocks, consistently yields the highest Sharpe Ratio under both weighting methods: 0.19 using MVEP and 0.21 using MAD. Portfolio 4’s performance was then re-evaluated using data from April through December 2025, resulting in a higher Sharpe ratio for both the MAD and MVEP. Overall, this study demonstrates that the combination of the K-Means Clustering, TOPSIS, MVEP, and MAD methods can be used to assist in the stock selection process and the formation of an optimal portfolio that is more efficient than investing in a single stock because it provides a better balance between return and risk through investment diversification, while remaining stable for the next nine months.
Wirda Andani, Shantika Martha, E. Sulistianingsih et al.· Inferensi· 0 citations
We use cookies to run the site and, with your consent, for analytics and to show ads.
See our Cookie Policy.
