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

R. Pooja, Parthajit Kayal and Moinak Maiti

Journal of Economic Studies, 2024, vol. 51, issue 9, 358-379

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.

Keywords: Agglomerative clustering; CAPM; Exploratory analysis; Feature engineering; K-means clustering; Machine learning (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jespps:jes-08-2024-0573

DOI: 10.1108/JES-08-2024-0573

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