Applying Grey Forecasting Model on the Investment Performance of Markowitz Efficiency Frontier: A Case of the MSCI World Index
- Alex Kung-Hsiung Chang 0, Chen Chueh-Chi
- Corresponding Author
- Alex Kung-Hsiung Chang
0Dep. of Business Administration, NPUST
Available Online October 2006.
- https://doi.org/10.2991/jcis.2006.176How to use a DOI?
- Grey forecasting model, GM(1,1), Markowitz efficiency frontier, Investment portfolio
- 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
- Open Access
- This is an open access article distributed under the CC BY-NC license.
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 - 9th Joint International Conference on Information Sciences (JCIS-06) PB - Atlantis Press UR - https://doi.org/10.2991/jcis.2006.176 DO - https://doi.org/10.2991/jcis.2006.176 ID - Chang2006/10 ER -