Accurate measurement of financial performance crucially requires meticulous data collection accompanied by the means to analyze the data. Banks, financial institutions, private companies, etc. should regularly conduct financial analyses at certain intervals in order to make predictions, to make more effective decisions, and to realize supervision activities more efficiently. The leading financial performance measurement methods include the Analytical Hierarchy Process (AHP), the Data Envelopment Analysis (DEA), and the Grey Relational Analysis (GRA). These methods vary depending on the purpose of use in performance measurement and are used for analysis in accordance with this purpose. This study aims to constitute a comparative literature review consisting of research studies conducted in Turkey over the period from 2011 to 2019 on the assessment of both conventional and participation banking sectors’ financial performances within the framework of the GRA.