Page 298 - Contributed Paper Session (CPS) - Volume 2

CPS1863 La Gubu et al.
Table 3. Stock Representation of Cluster
Cluster Representation Return Risk Sharpe Ratio
1 BBCA 0.00089 0.01285 0.05233

2 BRPT 0.00042 0.02296 0.00954

3 INCO 0.00258 0.02673 0.08885

4 BJBR 0.00023 0.02246 0.00087

5 MYRX 0.00043 0.03291 0.00675
6 AALI -0.00105 0.01452 -0.08672

7 WSKT -0.00006 0.02545 -0.01033

3.3 Comparison of performance of robust FMCD portfolio with MV classic
portfolio
In this study the optimum portfolio is determined using robust FMCD
estimation. The first step is determining the portfolio weight of the two models
for various risk aversion values γ. The stocks used are stocks which represent
each cluster as presented in Table 3. The obtained results are presented in
Table 4.

Table 4. Weight of Classic MV Portfolio and Robust FMCD Estimasi Portfolio
Model BBCA BRPT INCO BJBR MYRX AALI WSKT
0.5 8.65424 -0.81845 7.974449 0.03969 1.025810 -13.87264 -2.00310
32 21 2 75 1 14 66
1 4.52648 -0.36936 4.006589 0.08761 0.526658 -6.787882 -0.99009
34 62 4 00 3 7 24
2 2.46260 -0.14482 2.022659 0.11156 0.277082 -3.245503 -0.48358
36 32 5 62 5 4 52
5 1.22427 -0.01009 0.832301 0.12593 0.127336 -1.120075 -0.17968
56 74 5 99 9 8 09
10 0.81149 0.03481 0.435515 0.13073 0.077421 -0.411599 -0.07837
96 128 6 12 8 9 95

0.5 26.5172 4.53087 5.574959 -6.63125 -10.96117 -7.453084 -10.5775
582 83 4 01 34 3 876
1 13.4356 2.28352 2.779775 -3.21909 -5.42067 -3.616097 -5.24303
034 67 3 54 43 4 83
2 5.87394 0.97671 0.887080 -0.52740 -2.41538 -0.936475 -2.85847
06 75 8 61 48 3 26
5 2.49954 0.54940 0.456122 -0.01991 -1.22892 -0.420828 -0.83540
148 04 4 51 03 6 04
10 1.41850 0.29914 0.218470 0.19410 -0.55959 -0.030863 -0.53975
350 37 1 29 83 9 79
* : MV classic portofolio; : Robust FMCD estimation portfolio

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