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Int. J. Financial Stud. 2019, 7(1), 1; https://doi.org/10.3390/ijfs7010001

Using Grey Incidence Analysis Approach in Portfolio Selection

Faculty of Economics and Business, University of Zagreb, 10000 Zagreb, Croatia
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Received: 4 November 2018 / Revised: 20 December 2018 / Accepted: 20 December 2018 / Published: 23 December 2018
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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. View Full-Text
Keywords: portfolio selection; Grey Relational Analysis; stock market; financial ratios; market data; performance measurement portfolio selection; Grey Relational Analysis; stock market; financial ratios; market data; performance measurement
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This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).
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Škrinjarić, T.; Šego, B. Using Grey Incidence Analysis Approach in Portfolio Selection. Int. J. Financial Stud. 2019, 7, 1.

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Int. J. Financial Stud. EISSN 2227-7072 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
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