Abstract
A portfolio has been calculated a rate of expected earnings and a risk from change of a stock price. However, only performed past analyses and no consideration of corporate performances which must be factors of stock price change are a big problem for determination of a future equity-investment. This paper describes a new decision support system helping actual investments. First, equity-investment brand selection is performed using SOM (Self-Organizing Maps). Second, an asset allocation to nonrisk / risk assets is optimized using the management indexes of the selected brands and fuzzy reasonings. Third, we apply this technology to real stock price data and show the better results than those by TOPIX. Finally, we discuss the robustness of the proposed system to the steep fall in stock prices such as IT Bubble in 2000.
