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.

Volume

2

fYear

2006

fDate

Aug. 30 2006-Sept. 1 2006

Firstpage

254

Lastpage

257

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;

fLanguage

English

Publisher

ieee

Conference_Titel

Innovative Computing, Information and Control, 2006. ICICIC '06. First International Conference on

Conference_Location

Beijing

Print_ISBN

0-7695-2616-0

Type

conf

DOI

10.1109/ICICIC.2006.240

Filename

1691975