Dynamic portfolio optimization based on grey relational analysis approach

作者：

Highlights：

• Dynamic portfolio restructuring based on GRA results.

• Portfolio performance comparisons based on investor's utility theory.

• 22 different dynamic investment strategies simulated for detailed analysis.

• Greater portfolio values of GRA strategies compared to benchmark ones.

摘要

•Dynamic portfolio restructuring based on GRA results.•Portfolio performance comparisons based on investor's utility theory.•22 different dynamic investment strategies simulated for detailed analysis.•Greater portfolio values of GRA strategies compared to benchmark ones.

论文关键词：Dynamic portfolio selection,Grey relational coefficient,Stock performance

论文评审过程：Received 23 June 2019, Revised 23 November 2019, Accepted 14 January 2020, Available online 15 January 2020, Version of Record 25 January 2020.

论文官网地址：https://doi.org/10.1016/j.eswa.2020.113207