Naslov
Grey Incidence Analysis as a Tool in Portfolio Selection

Autori
Škrinjarić, Tihana

Vrsta, podvrsta i kategorija rada
Poglavlja u knjigama, znanstveni

Knjiga
Financial Risk Management and Modeling

Urednik/ci
Zopounidis, C. ; Benkraiem, R. ; Kalaitzoglou, I.

Izdavač
Springer

Grad
Cham

Godina
2021

Raspon stranica
189-234

ISBN
978-3-030-66691-0

Ključne riječi
grey analysis ; portfolio selection ; grey data ; risk analysis

Sažetak
Nowadays, many quantitative tools exist in portfolio and risk management in order to evaluate a set of investment opportunities, track their performance over time and in the end to evaluate the performance of the entire portfolio. A relatively unknown approach is the Grey Relation Analysis (GRA) approach, developed in the 1980s in order to help when making decisions within modelling of uncertain systems. However, it is still not sufficiently explored in the portfolio and risk management. Thus, this chapter explores the possibilities of using the GRA approach of ranking the stocks in the process of portfolio selection. Two contributions are expected in the chapter. Firstly, a concise and critical overview of the previous applications within the field of portfolio management is provided for the first time in the literature. The second contribution focused on the empirical application of the GRA approach when ranking the stocks based upon the investor’s utility function theory. This research used the first four moments of return distributions when ranking the stocks by using the GRA approach in order to construct portfolios based upon the results. The results indicate that higher moments of return distributions should be taken into consideration in portfolio selection.

Izvorni jezik
Engleski

Znanstvena područja
Matematika, Ekonomija

POVEZANOST RADA