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Analysis of the investment portfolio on the basis of forecasting stock prices

Zaichenko Y.P., Malyhah Esfandyyarfard, Zayka A.I.

The article is devoted to portfolio optimization under fuzzy conditions. The optimal portfolio with maximal profit is considered under given level of risk based on the fuzzy optimization of stock exchange. The interval estimates of shares profitability at the next period is determined by fuzzy group method of data handling. The lags of variables profitability, included in the model are defined by correlation analyses. The results of experimental investigations of the suggested approach to fuzzy portfolio optimization are presented.


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