Optimization of the Fuzzy Investment Portfolio during the Time Period
2014
Inna Sydoruk, Yuri Zaychenko

The problem of portfolio optimization under uncertainty is considered. For its solution the application of fuzzy sets theory is suggested. Fuzzy portfolio optimization problem during the time period is stated, its model is provided, investigated, and algorithm of its solution presented. This problem includes two main criteria – portfolio profitableness and risk. A mathematical model of this problem is constructed and explored. For better estimation of stock profitableness, Fuzzy Group Method of Data Handling (FGMDH) is suggested. The experimental investigations of the suggested approach are carried out. The results with optimal portfolios based on forecasted profitableness are presented and its efficiency is evaluated.


Keywords
Forecasting, fuzzy portfolio, FGMDH, portfolio optimization, profitableness, stock prices

Sydoruk, I., Zaychenko, Y. Optimization of the Fuzzy Investment Portfolio during the Time Period. Information Technology and Management Science. Vol.17, 2014, pp.66-73. ISSN 2255-9086. e-ISSN 2255-9094.

Publication language
English (en)
The Scientific Library of the Riga Technical University.
E-mail: uzzinas@rtu.lv; Phone: +371 28399196