Optimizing Portfolio by using Data Envelopment Analysis (DEA) and Cluster Analysis
Ayu Z. Silalahi · International Journal for Research in Applied Science and Engineering Technology · 2018
One of the most promising alternatives for investment is by investing funds in capital market.However, investors realize that their investments have the risk offered so that diversification or investment distribution is done by establishing stock portfolio.The problems in portfolio are that there are so various types of stock and how to select and allocate the amount of wealth in order to obtain optimal result.This article used cluster analysis to agglomerate Decision Making Unit (DMU), the stocks which productive characteristics were mostly similar to one another.Data Envelopment Analysis (DEA) was used to evaluate the efficiency of DMU.After the efficient DMUs were selected, optimal portfolio was established by using Single Index Model approach, and some fund proportions invested in each stock were determined.