Title :
Applying Grey Forecasting Model on the Investment Performance of Markowitz Efficiency Frontier: A Case of the Taiwan Securities Markets
Author :
Alex Kung-Hsiung Chang ; Jen-Der Kung
Author_Institution :
Dept. of Bus. Adm., Nat. Pingtung Univ. of Sci. & Technol.
fDate :
Aug. 30 2006-Sept. 1 2006
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 component securities of the Taiwan 50 Index from 1997 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
Keywords :
economic forecasting; economic indicators; forecasting theory; grey systems; investment; securities trading; Markowitz efficiency frontier investment portfolio models; Taiwan securities markets; ex-ante model; ex-post model; grey forecasting model; investment performance; Economic forecasting; Electronic mail; Finance; Information security; Investments; National security; Portfolios; Predictive models; Pricing; Reactive power; 1); Markowitz efficiency frontier; grey forecasting model GM(1; investment portfolio;
Conference_Titel :
Innovative Computing, Information and Control, 2006. ICICIC '06. First International Conference on
Conference_Location :
Beijing
Print_ISBN :
0-7695-2616-0
DOI :
10.1109/ICICIC.2006.240
