Fuzzy evaluation of investment portfolios

Author: Assoc. Prof. PhD Maya Lambovska, Chief Assist. Prof. Angel Marchev, Jr. (University of national and world economy - Sofia)

Keywords: management process of investment portfolio, fuzzy evaluation; fuzzy expertons and incidence matrices; delayed effects

Portfolio management is a well-researched interdisciplinary field. At the same time, there are many new possibilities for innovation through application of various new methods for solving the problem. Fuzzy logic and fuzzy sets are increasingly popular in portfolio management. This paper proposes a new fuzzy approach for evaluation of portfolio management, where the approach is viewed by the authors as a sub-phase of the management process of these portfolios. The approach defines the mutual and delayed effects among the significant variables of the investment portfolio. The evaluations of the effects are described as fuzzy trapezoidal numbers and they are aggregated by mathematical operations with incidence matrices and fuzzy functions “experton”.

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