Value at risk in the black litterman portfolio with stock selection through cluster analysis

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R. Subekti, E. Ratna Sari, R. Kusumawati, H.O. Pintari, P. Renggani

2019 Journal of Physics: Conference Series Vol. 1320 Issue 1 Conference paper Cited by 1

Abstract

The aim of this paper is to support the new strategy in the previous research where Black Litterman procedure is assisted by clustering for the process of given views. We provide the empirical result and focus on how to compute the Value at Risk (VaR) to illustrate the risk measure on Black Litterman as a reference portfolio. © 2019 IOP Publishing Ltd. All rights reserved.

Affiliations

Mathematics Education Department, Universitas Negeri Yogyakarta, Indonesia

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