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Discrete fuzzy system orbits as a portfolio selection method

Author

Listed:
  • Sergio Pérez-Gonzaga

    (Universitat Politècnica de València)

  • Jorge Jordán-Núñez

    (Universitat Politècnica de València)

  • Pau Miro-Martinez

    (Universitat Politècnica de València)

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.

Suggested Citation

  • Sergio Pérez-Gonzaga & Jorge Jordán-Núñez & Pau Miro-Martinez, 2020. "Discrete fuzzy system orbits as a portfolio selection method," Operational Research, Springer, vol. 20(2), pages 1047-1053, June.
    • Handle: RePEc:spr:operea:v:20:y:2020:i:2:d:10.1007_s12351-017-0361-2
    DOI: 10.1007/s12351-017-0361-2
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    References listed on IDEAS

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    1. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
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