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

页码：283 / +

页数：2

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