Fuzzy Portfolio Optimization Problem Under Uncertainty and Its Solution

The problem of constructing an optimal portfolio of securities under uncertainty is considered in paper. In this work the fundamentals of novel theory of investment portfolio optimization under uncertainty is presented based on fuzzy set theory and efficient forecasting methods. The direct problem of fuzzy portfolio optimization and dual problem are considered. In the direct problem structure of a portfolio is determined which will provide the maximum profitability at the given risk level.. The modified fuzzy portfolio optimization problem is also suggested in which maximum profitability is searched under constraint on portfolio volatility. Its model was constructed and solution suggested. The experimental investigations of the suggested fuzzy portfolio models were carried out and comparison with classical portfolio model by Markowitz was performed.