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Optimization of Stock Portfolio Investment based on K-Means Clustering using Markowitz Method (A case study: IDX-MES BUMN17 Index)

Jurnal Matematika, Statistika dan Komputasi · Vol. 22 No. 1 (2025) · pp. 187–198

DOI
10.20956/j.v22i1.43875
ISSN
2614-8811, 1858-1382
Published
2025-09-08
Publisher
Department of Mathematics, Hasanuddin University
Language
en
License
creativecommons.org/licenses/by/4.0

Abstract

A stock portfolio is a combination of two or more equity securities invested over a specific period and under certain conditions. This research analyzes stock combinations that can be formed into an optimal portfolio using the Markowitz method. The Markowitz method is employed to maximize returns and minimize the risk of a portfolio. The data used in this study consists of daily closing prices from the IDX-MES BUMN17 index, one of the indices in Indonesian Stock Exchange, between January 2023 and December 2023. Based on the results obtained, two recommended portfolios are identified, known as the Minimum Variance Portfolio (MVP) and Tangency Portfolio. The optimal portfolio can serve as an option depending on the investor's risk profile.

Keywords

Collaboration network of the authors

17 authors · 44 co-authorship links

Hover or tap a name to highlight its co-authors. Double-click to open the author's page.

  • Jenderal Soedirman University
  • Affiliation unknown
  • Different organisations
  • Same organisation
  • Affiliation unknown
  • Thicker line = more joint articles · bigger circle = more articles
Show as table
Co-authorOrganisationJoint articles
Nur RahmiAffiliation unknown3
Sulma SulmaAffiliation unknown2
Hukmah HukmahAffiliation unknown2
kusnaeni kusnaeniAffiliation unknown2
Muhammad Arkam ArifuddinAffiliation unknown2
Khaera TunnisaAffiliation unknown1
Muhammad Ikhlashul AmalAffiliation unknown1
Suriani MAffiliation unknown1
Suriani SurianiAffiliation unknown1
Harianto HariantoAffiliation unknown1
Dian FirmayasariAffiliation unknown1
Amran AmranJenderal Soedirman University1

Affiliations come from OpenAlex; journal OAI-PMH metadata carries none. Authors without an OpenAlex ID are matched by name, which can merge or split people.

Metadata source: OAI-PMH (metadata jurnal) https://journal.unhas.ac.id/index.php/jmsk/oai, first harvested 5 Nov 2026, last seen 5 Nov 2026.
Original metadata (oai_dc) 
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	<dc:title xml:lang="en">Optimization of Stock Portfolio Investment based on K-Means Clustering using Markowitz Method  (A case study: IDX-MES BUMN17 Index)</dc:title>
	<dc:creator xml:lang="en">Nisardi, Muhammad Rifki</dc:creator>
	<dc:creator xml:lang="en">Putra, Restu Ananda</dc:creator>
	<dc:creator xml:lang="en">Bakhtiar, Sri Muslihah</dc:creator>
	<dc:creator xml:lang="en">Husain, Hartina</dc:creator>
	<dc:creator xml:lang="en">Ekasasmita, Wahyuni</dc:creator>
	<dc:subject xml:lang="en">Markowitz method</dc:subject>
	<dc:subject xml:lang="en">Minimum Variance Portfolio (MVP)</dc:subject>
	<dc:subject xml:lang="en">Stock Portfolio</dc:subject>
	<dc:subject xml:lang="en">Tangency Portfolio</dc:subject>
	<dc:description xml:lang="en">A stock portfolio is a combination of two or more equity securities invested over a specific period and under certain conditions. This research analyzes stock combinations that can be formed into an optimal portfolio using the Markowitz method. The Markowitz method is employed to maximize returns and minimize the risk of a portfolio. The data used in this study consists of daily closing prices from the IDX-MES BUMN17 index, one of the indices in Indonesian Stock Exchange, between January 2023 and December 2023. Based on the results obtained, two recommended portfolios are identified, known as the Minimum Variance Portfolio (MVP) and Tangency Portfolio. The optimal portfolio can serve as an option depending on the investor's risk profile.</dc:description>
	<dc:publisher xml:lang="en">Department of Mathematics, Hasanuddin University</dc:publisher>
	<dc:date>2025-09-08</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
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	<dc:identifier>https://journal.unhas.ac.id/index.php/jmsk/article/view/43875</dc:identifier>
	<dc:identifier>10.20956/j.v22i1.43875</dc:identifier>
	<dc:source xml:lang="en">Jurnal Matematika, Statistika dan Komputasi; Vol. 22 No. 1 (2025): SEPTEMBER 2025; 187-198</dc:source>
	<dc:source>2614-8811</dc:source>
	<dc:source>1858-1382</dc:source>
	<dc:language>en</dc:language>
	<dc:relation>https://journal.unhas.ac.id/index.php/jmsk/article/view/43875/13340</dc:relation>
	<dc:rights xml:lang="en">Copyright (c) 2025 Jurnal Matematika, Statistika dan Komputasi</dc:rights>
	<dc:rights xml:lang="en">https://creativecommons.org/licenses/by/4.0</dc:rights>
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