Naslov
Dynamic Portfolio Optimization Based On Grey Relational Analysis Approach

Autori
Škrinjarić, Tihana

Izvornik
Expert systems with applications (0957-4174) 147 (2020); 1-15

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
dynamic portfolio selection ; Grey Relational Coefficient ; stock performance

Sažetak
This research focuses on the possibilities of Grey Relational Analysis (GRA) as a tool in portfolio selection. The main goal of the paper was to empirically evaluate possibilities of dynamic portfolio (re)structuring with respect to the results from ranking stocks when using the GRA approach. The contributions of this research include: utilizing the GRA in accordance with finance and investor’s utility theory ; performing a battery of comparisons of investment strategies which are, again, based on finance theory. Results from the analysis indicate that there exist possibilities of exploiting the advantages of GRA methodology in order to form stock portfolios. This is shown by comparing the portfolio performance, which has been calculated based on several important measures. This performance indicates that based on the investor’s preferences, certain gains can be achieved (both in terms of risk and return). Thus, the importance of this research is found in combining the GRA approach as a tool for achieving widely known investment goals more efficiently, in quicker time and even with the inclusion of transaction costs.

Izvorni jezik
Engleski

Znanstvena područja
Matematika, Ekonomija

POVEZANOST RADA