Discrete fuzzy system orbits as a portfolio selection method

Sergio Pérez-Gonzaga, Jorge Jordán-Núñez () and Pau Miro-Martinez
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Sergio Pérez-Gonzaga: Universitat Politècnica de València
Jorge Jordán-Núñez: Universitat Politècnica de València
Pau Miro-Martinez: Universitat Politècnica de València

Operational Research, 2020, vol. 20, issue 2, No 23, 1047-1053

Abstract: Abstract The purpose of this work is to approach the portfolio selection problem from a particular System Theory framework. The System will be formed by the set of public companies in the portfolio and a set of fuzzy relations on those companies. Starting with an equally split portfolio represented by a fuzzy set B, the orbit of B is computed for a particular period obtaining a portfolio to invest in the next period. We present an example finding nine portfolios to invest in 9 months and we compare them with some optimal portfolios in the efficient frontier given by the Modern Portfolio Theory and with some random generated portfolios. We find a better performance in returns for the portfolio based on the systemic method.

Keywords: Abstract system; Discrete orbits; Fuzzy finance (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s12351-017-0361-2

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