ROBUST PORTFOLIO SELECTION WITH CLUSTERING BASED ON BUSINESS SECTOR OF STOCKS
In recent years there have been numerous studies on portfolio selection using cluster analysis in conjunction with Markowitz model which used mean vectors and covariance matrix that are estimated from a highly volatile data. This study presents a more robust way of portfolio selection where stocks a...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universitas Diponegoro
2021-06-01
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| Series: | Media Statistika |
| Subjects: | |
| Online Access: | https://ejournal.undip.ac.id/index.php/media_statistika/article/view/32568 |