Portfolio Investment Decision Support System Based on a Fuzzy Inference System

This paper describes a hybrid intelligent system formed by a decision support system based on rules for the management of a stock portfolio and by a fuzzy inference system to select the stocks to be incorporated. This system simulates the behavior of any rational investor, so that each day would look if there is any investment opportunity with the use of technical indicators applying a fuzzy logic based approach. The system has been tested in 3 time periods (I year, 3 years and 5 years), simulating the purchase/sale of stocks in the Spanish continuous market and the results have been compared with the revaluations obtained by the best investment funds operating in Spain.