Techniques for Assessing Return and Risk of Investment Portfolios: a Case Study

摘要

This article aims to present the role that portfolios of financial instruments have on the investment capital market, what are the main models and techniques created in the literature by scholars of the domain for the purpose of portfolio creation and evaluation. The focus will be directed especially on the Markowitz model because this is currently the most widely used model for portfolio selection and evaluation. This model will be used on a concrete portfolio. As contributions, a strategy for predicting the evolution of prices and indexes on the Romanian capital market (based on BET and BET-FI index) is proposed, that employs some renown technologies from AI domain, such as Fuzzy Logic and Genetic Algorithms. We devised our research on three scenarios in which we constructed portfolios consisting of 3 types of shares from Romanian market and the results are presented in tabular and graphics form.