Naslov
Selected Applications of Grey Models in Stock Price Prediction

Autori
Škrinjarić, Tihana ; Čižmešija, Mirjana

Vrsta, podvrsta i kategorija rada
Poglavlja u knjigama, znanstveni

Knjiga
Recent Applications of Financial Risk Modelling and Portfolio Management

Urednik/ci
Škrinjarić, Tihana ; Čižmešija, Mirjana ; Christiansen, Bryan

Izdavač
IGI Global

Grad
Hershey (PA)

Godina
2021

Raspon stranica
346-362

ISBN
9781799850847

ISSN
2327-5677

Ključne riječi
Grey Model ; portfolio selection ; stock market

Sažetak
This chapter examines the possibilities of utilizing the results of Grey Models (GM) in the portfolio selection. Namely, stock price prediction represents one of the most important steps in the portfolio management. Many different models and methods have been developed for this purpose over the decades. The GM models could be utilized for such purpose. However, this approach is still relatively unknown today although research in the Far East has shown that applications of GM approach have good forecasting capabilities. That is why this chapter aims to popularize the GM approach of modeling stock prices and to combine the estimation results with the portfolio performance measurement. The benefits of using GM models within the portfolio management are empirically confirmed using daily data on the stock market index CROBEX from Zagreb Stock Exchange during the period from September 2, 2019, until February 7, 2020. The GM(2, 1) model is the best performing one with respect to out of sample forecasts and based on portfolio performance measures important to the investor.

Izvorni jezik
Engleski

Znanstvena područja
Matematika, Ekonomija

POVEZANOST RADA