A Systematic Literature Review on Mean-CVaR Based Financial Asset Portfolio Weight Allocation Using K-Means Clustering

This study aims to identify and analyze the application of the Mean-Conditional Value-at-Risk (Mean-CVaR) model in the allocation of financial asset portfolio weights combined with the K-Means Clustering algorithm. The Systematic Literature Review (SLR) method is used with the PRISMA protocol through the stages of identification, screening, eligibility, and inclusion. Data is obtained from Scopus, ScienceDirect, and Dimensions databases, then selected up to six relevant primary articles. The results of the study indicate that CVaR is the dominant risk measure in portfolio optimization, while K-Means Clustering serves as a method of grouping assets to increase diversification. The optimization methods used include Genetic Algorithm, Particle Swarm Optimization, Teaching Learning-Based Optimization, and Stochastic Programming. However, direct integration between Mean-CVaR and K-Means within a portfolio weight allocation framework is still rare. This research emphasizes the need to develop a hybrid model that combines both approaches in an integrated manner, applied to a multi-asset portfolio, and validated under various market conditions to produce an optimal, adaptive, and resilient investment strategy against extreme risks.

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Journal
CAUCHY Jurnal Matematika Murni dan Aplikasi
Published
2025-11-26
DOI
https://doi.org/10.18860/cauchy.v10i2.36590
Primary Topic
Risk and Portfolio Optimization
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article
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0.00
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article

A Systematic Literature Review on Mean-CVaR Based Financial Asset Portfolio Weight Allocation Using K-Means Clustering

Riaman Riaman, Alim Jaizul Wahid, Sukono Sukono
CAUCHY Jurnal Matematika Murni dan Aplikasi
Risk and Portfolio Optimization
article

A Systematic Literature Review on Mean-CVaR Based Financial Asset Portfolio Weight Allocation Using K-Means Clustering

Riaman Riaman, Alim Jaizul Wahid, Sukono Sukono
article en

Abstract

This study aims to identify and analyze the application of the Mean-Conditional Value-at-Risk (Mean-CVaR) model in the allocation of financial asset portfolio weights combined with the K-Means Clustering algorithm. The Systematic Literature Review (SLR) method is used with the PRISMA protocol through the stages of identification, screening, eligibility, and inclusion. Data is obtained from Scopus, ScienceDirect, and Dimensions databases, then selected up to six relevant primary articles. The results of the study indicate that CVaR is the dominant risk measure in portfolio optimization, while K-Means Clustering serves as a method of grouping assets to increase diversification. The optimization methods used include Genetic Algorithm, Particle Swarm Optimization, Teaching Learning-Based Optimization, and Stochastic Programming. However, direct integration between Mean-CVaR and K-Means within a portfolio weight allocation framework is still rare. This research emphasizes the need to develop a hybrid model that combines both approaches in an integrated manner, applied to a multi-asset portfolio, and validated under various market conditions to produce an optimal, adaptive, and resilient investment strategy against extreme risks.

CAUCHY Jurnal Matematika Murni dan AplikasiVol. 10(2)
Padjadjaran University (ID)
Openalex Percentile: Top 58%
Risk and Portfolio Optimization
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A Systematic Literature Review on Mean-CVaR Based Financial Asset Portfolio Weight Allocation Using K-Means Clustering — Riaman Riaman, Alim Jaizul Wahid, et al. · CAUCHY Jurnal Matematika Murni dan Aplikasi (2025) | TGRS Research Map | TGRS