Using Grey Incidence Analysis Approach in Portfolio Selection
Due to the development of financial markets, products, financial and mathematical models, portfolio selection today represents a comprehensive set of activities. Investors take into consideration many different factors, such as the market factors, return distribution characteristics and financial st...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2018-12-01
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| Series: | International Journal of Financial Studies |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2227-7072/7/1/1 |
| _version_ | 1811278541145243648 |
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| author | Tihana Škrinjarić Boško Šego |
| author_facet | Tihana Škrinjarić Boško Šego |
| author_sort | Tihana Škrinjarić |
| collection | DOAJ |
| description | Due to the development of financial markets, products, financial and mathematical models, portfolio selection today represents a comprehensive set of activities. Investors take into consideration many different factors, such as the market factors, return distribution characteristics and financial statements information. This research applies a Grey Relational Analysis (GRA) approach to evaluate the performance on a sample of stocks by taking those different factors into consideration. The results based upon a sample of 55 stocks for the trading year 2017 on the Croatian capital market show that using GRA approach in portfolio selection provides useful guidance for investors when making investment decisions, and better portfolio results in terms of risk and return are reachable compared to an equally weighted portfolio benchmark. |
| first_indexed | 2024-04-13T00:36:25Z |
| format | Article |
| id | doaj.art-42ce7ad8021145f38dd1c1f35b2a7887 |
| institution | Directory Open Access Journal |
| issn | 2227-7072 |
| language | English |
| last_indexed | 2024-04-13T00:36:25Z |
| publishDate | 2018-12-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | International Journal of Financial Studies |
| spelling | doaj.art-42ce7ad8021145f38dd1c1f35b2a78872022-12-22T03:10:18ZengMDPI AGInternational Journal of Financial Studies2227-70722018-12-0171110.3390/ijfs7010001ijfs7010001Using Grey Incidence Analysis Approach in Portfolio SelectionTihana Škrinjarić0Boško Šego1Faculty of Economics and Business, University of Zagreb, 10000 Zagreb, CroatiaFaculty of Economics and Business, University of Zagreb, 10000 Zagreb, CroatiaDue to the development of financial markets, products, financial and mathematical models, portfolio selection today represents a comprehensive set of activities. Investors take into consideration many different factors, such as the market factors, return distribution characteristics and financial statements information. This research applies a Grey Relational Analysis (GRA) approach to evaluate the performance on a sample of stocks by taking those different factors into consideration. The results based upon a sample of 55 stocks for the trading year 2017 on the Croatian capital market show that using GRA approach in portfolio selection provides useful guidance for investors when making investment decisions, and better portfolio results in terms of risk and return are reachable compared to an equally weighted portfolio benchmark.http://www.mdpi.com/2227-7072/7/1/1portfolio selectionGrey Relational Analysisstock marketfinancial ratiosmarket dataperformance measurement |
| spellingShingle | Tihana Škrinjarić Boško Šego Using Grey Incidence Analysis Approach in Portfolio Selection International Journal of Financial Studies portfolio selection Grey Relational Analysis stock market financial ratios market data performance measurement |
| title | Using Grey Incidence Analysis Approach in Portfolio Selection |
| title_full | Using Grey Incidence Analysis Approach in Portfolio Selection |
| title_fullStr | Using Grey Incidence Analysis Approach in Portfolio Selection |
| title_full_unstemmed | Using Grey Incidence Analysis Approach in Portfolio Selection |
| title_short | Using Grey Incidence Analysis Approach in Portfolio Selection |
| title_sort | using grey incidence analysis approach in portfolio selection |
| topic | portfolio selection Grey Relational Analysis stock market financial ratios market data performance measurement |
| url | http://www.mdpi.com/2227-7072/7/1/1 |
| work_keys_str_mv | AT tihanaskrinjaric usinggreyincidenceanalysisapproachinportfolioselection AT boskosego usinggreyincidenceanalysisapproachinportfolioselection |