Fuzzy interactive multi-objective optimization – support for investment portfolio selection

The capital market is truly diverse place, coming with many opportunities and many pitfalls. Therefore, making an investment decision can potentially be complicated. The aim is to find a methodology that would be able to make a portfolio according to the investor's expectations under the prevailing capital market conditions. In order to ensure that the methodology considers all necessary aspects of investment decision-making (nature of input data, preferences, decision revision, etc.), existing concepts, which are inadequate in some respects, were used to design our own fuzzy interactive multi-objective optimization method. It is the apparatus of fuzzy set theory that serves very well to express the typical vagueness, and hence uncertainty, associated with investing. These are in particular unstable characteristics, traditionally the return, or vague expressions of preferences of the usually less experienced, reserved investor. Proposed concept of investment portfolio selection is conceptually embed the whole investment decision-making process, both theoretically and especially practically. The empirical part thus tells the story from the genesis of an investment policy, or an investment strategy, to the making of a portfolio, with its eventual revision. Since human behavior is often irresponsible towards the environment, material and human resources, it is only natural to focus on the ESG (Environmental, Social, Governance) mutual fund market, a sustainable investment that is becoming increasingly popular. Specifically, these are mutual funds offered on the Czech market by Česká spořitelna. The results of the usual more conservative, balanced strategies with the timelessly important element of sustainability are presented and discussed. The composition of the portfolio, and its characteristics, are then analyzed. The process of ongoing revision of the investment is also outlined.