R. Subekti, E. Ratna Sari, R. Kusumawati
This research aims to propose a new strategy for an investor when using Black Litterman Model (BLM) in order to gain higher performance on their portfolio. The proposed strategy is starting to cluster stocks then combine it with allocation weight following the Black-Litterman rules. We describe two scenarios combination cluster and BLM in the processing of portfolio construction then we investigate both performances measured with the Sharpe index. In this research, we limited for expressing views which only use absolute views. We find that a result from combining the cluster technique will help investors to determine which assets that will be given certain views on their portfolio. © Published under licence by IOP Publishing Ltd.
Mathematics Education Department, Faculty of Mathematics and Natural Sciences, Universitas Negeri Yogyakarta, Yogyakarta, Indonesia
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