Leveraging momentum clustering and PID control for enhanced portfolio management
Efficient wealth management in dynamic financial environments is crucial for maximizing returns and mitigating risk. Therefore, this study presents an adaptive portfolio management strategy that combines momentum-based clustering, a Proportional-Integration-Derivative (PID) controller, and efficient...
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2025-12-01
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| Series: | Cogent Economics & Finance |
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| Online Access: | https://www.tandfonline.com/doi/10.1080/23322039.2024.2449194 |
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| author | Ameiy Acharya Saket Gupta Krishna Kumba Patri Upender |
| author_facet | Ameiy Acharya Saket Gupta Krishna Kumba Patri Upender |
| author_sort | Ameiy Acharya |
| collection | DOAJ |
| description | Efficient wealth management in dynamic financial environments is crucial for maximizing returns and mitigating risk. Therefore, this study presents an adaptive portfolio management strategy that combines momentum-based clustering, a Proportional-Integration-Derivative (PID) controller, and efficient frontier (EF) analysis to construct optimal portfolios in dynamic financial environments. A novel integration of a PID controller dynamically adjusts the asset weights to address the limitations of static optimization methods. EF analysis is then employed to identify portfolios with optimal risk-return trade-offs. Our dynamic strategy demonstrates competitive performance compared to conventional benchmarks. From 2017 to 2023, the approach yielded a cumulative return of 135.5%, surpassing Standard and Poor’s 500 (46.66%), Russell’s 2000 Index (11.47%) and NASDAQ (67.88%). These findings suggest that the integration of clustering techniques and PID controllers offers a promising approach for portfolio management. |
| format | Article |
| id | doaj-art-bba8b2188b2746aa8b65a5aee4d6334d |
| institution | Kabale University |
| issn | 2332-2039 |
| language | English |
| publishDate | 2025-12-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Economics & Finance |
| spelling | doaj-art-bba8b2188b2746aa8b65a5aee4d6334d2025-01-09T14:35:22ZengTaylor & Francis GroupCogent Economics & Finance2332-20392025-12-0113110.1080/23322039.2024.2449194Leveraging momentum clustering and PID control for enhanced portfolio managementAmeiy Acharya0Saket Gupta1Krishna Kumba2Patri Upender3Vellore Institute of Technology Chennai, Vandalur, Tamil Nadu, IndiaVellore Institute of Technology Chennai, Vandalur, Tamil Nadu, IndiaVellore Institute of Technology Chennai, Vandalur, Tamil Nadu, IndiaVellore Institute of Technology Chennai, Vandalur, Tamil Nadu, IndiaEfficient wealth management in dynamic financial environments is crucial for maximizing returns and mitigating risk. Therefore, this study presents an adaptive portfolio management strategy that combines momentum-based clustering, a Proportional-Integration-Derivative (PID) controller, and efficient frontier (EF) analysis to construct optimal portfolios in dynamic financial environments. A novel integration of a PID controller dynamically adjusts the asset weights to address the limitations of static optimization methods. EF analysis is then employed to identify portfolios with optimal risk-return trade-offs. Our dynamic strategy demonstrates competitive performance compared to conventional benchmarks. From 2017 to 2023, the approach yielded a cumulative return of 135.5%, surpassing Standard and Poor’s 500 (46.66%), Russell’s 2000 Index (11.47%) and NASDAQ (67.88%). These findings suggest that the integration of clustering techniques and PID controllers offers a promising approach for portfolio management.https://www.tandfonline.com/doi/10.1080/23322039.2024.2449194Wealth management strategiesdynamic financial environmentsmomentum clusteringPID controlrisk-return trade-offsAlgorithms & Complexity |
| spellingShingle | Ameiy Acharya Saket Gupta Krishna Kumba Patri Upender Leveraging momentum clustering and PID control for enhanced portfolio management Cogent Economics & Finance Wealth management strategies dynamic financial environments momentum clustering PID control risk-return trade-offs Algorithms & Complexity |
| title | Leveraging momentum clustering and PID control for enhanced portfolio management |
| title_full | Leveraging momentum clustering and PID control for enhanced portfolio management |
| title_fullStr | Leveraging momentum clustering and PID control for enhanced portfolio management |
| title_full_unstemmed | Leveraging momentum clustering and PID control for enhanced portfolio management |
| title_short | Leveraging momentum clustering and PID control for enhanced portfolio management |
| title_sort | leveraging momentum clustering and pid control for enhanced portfolio management |
| topic | Wealth management strategies dynamic financial environments momentum clustering PID control risk-return trade-offs Algorithms & Complexity |
| url | https://www.tandfonline.com/doi/10.1080/23322039.2024.2449194 |
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