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

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 Litterma...

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Bibliographic Details
Published in:Journal of physics. Conference series 2019-10, Vol.1320 (1), p.12004
Main Authors: Subekti, R, Ratna Sari, E, Kusumawati, R, Pintari, H O, Renggani, P
Format: Article
Language:English
Subjects:
Cluster analysis
Clustering
Empirical analysis
Physics
Risk
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Summary: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.
ISSN:1742-6588
1742-6596
DOI:10.1088/1742-6596/1320/1/012004