摘要：The diversification of the investment portfolio may be regarded as one of the ways tomanage investment risk. One of the solutions to this problem is the approach of Markowitz.However, it uses a number of assumptions which are poorly consistent with the realities ofinvestment processes. Thus, the requirement of statistical homogeneity cannot be achieved in realconditions. The use of to the subjective probabilities almost does not improve the situation.It is assumed that there are some projects (investment projects, food programs, securities)from which an investment portfolio is to be formed and investments in these projects should beappropriately distributed. The information about the projects is vague and its possible refinement isassociated with unacceptable time and material costs. Besides, the necessary level of certainty isnot guaranteed. The resulting estimates are expert ones and they do not always have aquantitative representation, often being approximate.A mathematical substantiation, an algorithm and practical implementation of the solution tothe problem are given, this problem being regarded as a fuzzy analogue of a statistical game. Thisproblem is formulated in a fuzzy statement and several ways to solve it are presented.An algorithm and computational and analytical methods of making a rational decision on theformation of the investment portfolio have been described. These methods are free from defects ofother known approaches, making it possible to take into account the multiplicity of identicalestimates of yield components of the investment portfolio which ultimately enhances the validity ofthe distribution of investment resources.The presented approach has been successfully applied to practice in the assessment of theoptions and management and economic decision-making in the economic analysis and portfoliomanagement in a number of commercial banks.
