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Using Grey Incidence Analysis Approach in Portfolio Selection

Author

Listed:
  • Tihana Škrinjarić

    (Faculty of Economics and Business, University of Zagreb, 10000 Zagreb, Croatia)

  • Boško Šego

    (Faculty of Economics and Business, University of Zagreb, 10000 Zagreb, Croatia)

Abstract

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.

Suggested Citation

  • Tihana Škrinjarić & Boško Šego, 2018. "Using Grey Incidence Analysis Approach in Portfolio Selection," IJFS, MDPI, vol. 7(1), pages 1-16, December.
    • Handle: RePEc:gam:jijfss:v:7:y:2018:i:1:p:1-:d:192789
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    References listed on IDEAS

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    Cited by:

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