A Decision Support System for Portfolio Optimization in the Mexican Market

被引：1
|
作者：
Osorio, Maria A. [1 ]
Ballinas, Ana [2 ]
Jimenez, Erika [2 ]
Sanchez, Abraham [2 ]
机构：
[1] Benemerita Univ Autonoma Puebla, Dept Chem Engn, Puebla, Mexico
[2] Benemerita Univ Autonoma Puebla, Dept Comp Sci, Puebla, Mexico
来源：
NINTH MEXICAN INTERNATIONAL CONFERENCE ON COMPUTER SCIENCE, PROCEEDINGS | 2008年
关键词：
D O I：
10.1109/ENC.2008.29
中图分类号：
TP301 [理论、方法];
学科分类号：
081202 ;
摘要：
We present the main elements for a decision support system for portfolio optimization in the Mexican market, including the financial investments consideration for a database, the uncertainty representation in scenario trees and the requirements for a portfolio optimization model. We used a stochastic programming approach to formulate the multistage optimization model, modified with new constraints and solved it with a Simulated Annealing procedure. The scenario tree was generated by a simulation and clustering process. Some examples are presented to show the performance of the proposed procedure.
引用
收藏
页码：283 / +
页数：2
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