engleski

Using Grey Relational Analysis with Fuzzy Logic in portfolio selection

This research combines the Grey Systems Theory with the Fuzzy Logic in the process of selecting stocks into the portfolio. Since many financial data often include uncertainties with incomplete data, the mentioned approaches are quite useful for modelling such data. Based on the weekly data on 20 stocks on the Zagreb Stock Exchange for the period 2 January - 30 April 2019, the rankings from the Grey Relational Analysis are used to form membership functions within the Fuzzy Logic approach of making the final decision on investing. The dynamic analysis provides insights into the simulated portfolio characteristics which are compared to benchmark ones. The results of this study indicate that there exists potential in using the mentioned two approaches combined to achieve investment goals.

dynamic portfolio selection ; Grey Incidence Analysis ; fuzzy sets ; portfolio evaluation ; investment simulation

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