T. Magoč and F. Modave (USA)
Investment portfolio, fuzzy integration, dependencies among assets.
Numerous intelligent systems techniques have been used
to select an optimal investment portfolio. These techniques
take into consideration the return and the risk of each asset
in order to build the best portfolio. However, the existing
methods do not consider the dependencies among the asset.
On the other hand, in reality, the performance of an asset
often depends on the performance of some other assets, and
therefore investment in two depending assets does not truly
diversify the risk. In this paper, we suggest a method for
the selection of an optimal portfolio that considers the dependencies among the investment assets.