THE SELECTION OF A PORTFOLIO THROUGH A FUZZY GENETIC ALGORITHM: THE POFUGENA MODEL

The selection of a portfolio encounters several extremely complex situations. From among them, it has to be highlighted, due to its difficulty and transcendence, the Financial Assets selection when interrelations (positive and/or negative) occur among the expected profitabilities of each one of them. The tools traditionally used have tried to approach it by simplifying reality and, therefore, the obtained results are not fully satisfactory. This situation has encouraged the authors to questioning whether better solutions can be reached by applying the so called Intelligent Technologies. Thus, one of the available tools is the one constituted by Genetic Algorithms, due to its utility when offering solutions to complex optimization problems. Furthermore, by using the Fuzzy Sets Theory, we intend to obtain a closer representation for the uncertainty that characterises Financial Market. This way, it is intended to outline an approach to solve Financial Assets selection problems for a portfolio in a non-linear and uncertainty environment, by applying a Fuzzy Genetic Algorithm to optimize the investment profitability