Abstract: Methodological problems of classical portfolio optimization models have led to the search for new ways to solving the main problem of portfolio theory, which assumes the existence of optimal investment structure that can provide risk reduction under a fixed income, or assures more income under fixed level of risk. The methodology development of artificial intelligence and in particular, the emergence of fuzzy set theory and fuzzy logic are allowed to solve the problem of forming optimal investment portfolio on a new scientific basis. The aim of this study is the construction of a model of optimization the investment portfolio of the diversified group of companies with the use of risk assessment techniques, which are based on fuzzy-sets methodology. The fuzzy-set economic and mathematical model is built in this article which allows to obtain the efficient frontier of the investment portfolio and to determine the optimal structure of investments by using of the basic method of risk assessment the method that takes into account the risk of opportunistic behavior, due to the desire to assign additional income (quasi-rent) is determined in this paper. The use of the presented model may allow to the head of diversified business group to increase the effectiveness of decisionmaking about the optimal investment structure in the development of the main activities of the group, taking into account the risks caused by the uncertainty of the business environment