Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)

Applying Grey Forecasting Model on the Investment Performance of Markowitz Efficiency Frontier: A Case of the MSCI World Index

Authors
Alex Kung-Hsiung Chang1, Chen Chueh-Chi
1Dep. of Business Administration, NPUST
Corresponding Author
Alex Kung-Hsiung Chang
Available Online October 2006.
DOI
10.2991/jcis.2006.176How to use a DOI?
Keywords
Grey forecasting model, GM(1,1), Markowitz efficiency frontier, Investment portfolio
Abstract

This paper uses a grey forecasting model GM(1,1) on improving the investment performance of classical Markowitz efficiency frontier’s investment portfolio using the component markets’ indexes of MSCI World Index from 1999 to 2005 as the samples. Using grey Markowitz efficiency frontier’s investment portfolio models, we establish a more stable and correct connection between ex-ante model and ex-post performance. The results show the Grey Markowitz efficiency frontier investment portfolio model could improve the investment performance effectively and stably

Copyright
© 2006, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)
Series
Advances in Intelligent Systems Research
Publication Date
October 2006
ISBN
978-90-78677-01-7
ISSN
1951-6851
DOI
10.2991/jcis.2006.176How to use a DOI?
Copyright
© 2006, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Alex Kung-Hsiung Chang
AU  - Chen Chueh-Chi
PY  - 2006/10
DA  - 2006/10
TI  - Applying Grey Forecasting Model on the Investment Performance of Markowitz Efficiency Frontier: A Case of the MSCI World Index
BT  - Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)
PB  - Atlantis Press
SP  - 588
EP  - 591
SN  - 1951-6851
UR  - https://doi.org/10.2991/jcis.2006.176
DO  - 10.2991/jcis.2006.176
ID  - Chang2006/10
ER  -