Enhancing portfolio decision-making: a capital asset pricing model-based clustering analysis

Purpose To enhance portfolio decision-making using a capital asset pricing model-based clustering analysis. Design/methodology/approach Capital asset pricing model (CAPM); K-means clustering; agglomerative clustering. Findings Employing clustering along with CAPM to identify varying levels of risk appetite among customers enables the customization of security recommendations, enhancing client satisfaction and portfolio performance. Originality/value By employing multi-factor models as the foundation for clustering, thereby integrating additional dimensions of risk and return.

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Publication Details

Journal
Journal of Economic Studies
Published
2024-11-26
DOI
https://doi.org/10.1108/jes-08-2024-0573
Citations
2
Primary Topic
Financial Markets and Investment Strategies
Type
article
Field-Weighted Citation Impact
1.08
Controls
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article

Enhancing portfolio decision-making: a capital asset pricing model-based clustering analysis

Parthajit Kayal, Moinak Maiti, R. Pooja
2 citations
Journal of Economic Studies
Financial Markets and Investment Strategies
1.08
article

Enhancing portfolio decision-making: a capital asset pricing model-based clustering analysis

Parthajit Kayal, Moinak Maiti, R. Pooja
article en
2 citations

Abstract

Purpose To enhance portfolio decision-making using a capital asset pricing model-based clustering analysis. Design/methodology/approach Capital asset pricing model (CAPM); K-means clustering; agglomerative clustering. Findings Employing clustering along with CAPM to identify varying levels of risk appetite among customers enables the customization of security recommendations, enhancing client satisfaction and portfolio performance. Originality/value By employing multi-factor models as the foundation for clustering, thereby integrating additional dimensions of risk and return.

Journal of Economic StudiesVol. 51(9)
University of the Witwatersrand (ZA), University of Madras (IN), Madras Institute of Development Studies (IN)
Peace, Justice and strong institutions
Openalex Percentile: Top 19%
Financial Markets and Investment Strategies
1.08
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