Abstract

CASTRO PEREZ, Judith Jazmin  and  MEDINA REYES, José Eduardo. Fuzzy Portfolio Selection with Sugeno Type Fuzzy Neural Network: Investing in the Mexican Stock Market. Rev. mex. econ. finanz [online]. 2021, vol.16, n.spe, e583.  Epub Sep 05, 2022. ISSN 2448-6795.  https://doi.org/10.21919/remef.v16i0.583.

The objective of this research is to compare the returns of the portfolios developed by the proposed methodology called Fuzzy Portfolio Selection with Sugeno Type Fuzzy Neural Network against Markowitz’s portfolio theory; to identify the best investment model. For this purpose, we used ten stock time series of the Mexican market in daily format from January 2, 2015, to May 15, 2020, to get the portfolios every week from May 15 to June 12, 2020. The principal result is that our methodology recognized the behavior of each share, generates better risk management, and higher returns in comparison with the traditional techniques. The recommendation is to evaluate other stocks and markets to verify the efficiency of our model, the limitation is that a fundamental analysis must precede the tool, and the originality is the new technique proposed. The main conclusion is that the portfolio selection model based on fuzzy neural networks generated two models that do not have negative returns in any week, the cumulative return obtained was up to 15.68%.

Keywords : Portfolio Theory; Fuzzy Theory; Fuzzy Neural Network; Financial Markets; Markowitz’s Portfolio Theory.