Fuzzy Rule-Based Expert System for Multi Assets Portfolio Optimization

Abstract

Portfolio optimization has always been a topic of wide interest for investors. They always want to maximize their return for a given level of risk or minimize the risk for a given level of return. Modern Portfolio Theory (MPT) helps investors in portfolio selection but doesn’t consider the uncertainty and complexity associated with the real market. Thus, to deal with the uncertainty of the real market, we use fuzzy logic in portfolio selection. In this paper, we have found the results with Statistical method (using Lagrange’s multipliers method) and then by using Fuzzy logic toolbox of MATLAB (Triangular membership function and Gaussian membership function). The results obtained by both the methods are then compared. This study also examines the testing data sets.