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

Author

Listed:
  • R. Pooja
  • Parthajit Kayal
  • Moinak Maiti

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.

Suggested Citation

  • R. Pooja & Parthajit Kayal & Moinak Maiti, 2024. "Enhancing portfolio decision-making: a capital asset pricing model-based clustering analysis," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 51(9), pages 358-379, November.
    • Handle: RePEc:eme:jespps:jes-08-2024-0573
    DOI: 10.1108/JES-08-2024-0573
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