Selection of Optimal Portfolio: Taking into Consideration Dependencies among Assets

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.

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