Mathematical Model for Optimizing the Composition of an Investment Portfolio for the Mexican Stock Market

被引：1
|
作者：
Crispin Zavala-Diaz, Jose
Perez-Ortega, Joaquin
Pazos R., Rodolfo
Vianey Garcia V., Dalia
Cruz-Reyes, Laura
机构：
来源：
INTERNATIONAL JOINT CONFERENCE ON COMPUTATIONAL SCIENCES AND OPTIMIZATION, VOL 1, PROCEEDINGS | 2009年
关键词：
D O I：
10.1109/CSO.2009.435
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
A linear programming mathematical model is presented, which permits to compose an investment portfolio that achieves the maximal return at minimal risk from public information published on the web page of the Mexican stock exchange (BMV). Each of the linear programming problems (return maximization and risk minimization) is solved individually, and their optimal values are compared against those of a portfolio obtained using a statistical method The results show that it is possible to compose a portfolio at minimal risk at time zero, and that the portfolio obtained by the statistical method is different from the one obtained by solving the optimization mathematical model.
引用
收藏
页码：463 / 467
页数：5
相关论文
共 50 条
  • [1] A Robust Multiobjective Mathematical Model Optimizing Stock Portfolio
    Sadri, Mehran
    Sadeghi, Alireza
    Madanchi Zaj, Mahdi
    Afzoon, Esmaeel
    Dardaei-beiragh, Helia
    DISCRETE DYNAMICS IN NATURE AND SOCIETY, 2022, 2022
  • [2] The returns and risks of investment portfolio in stock market crashes
    Li, Jiang-Cheng
    Long, Chao
    Chen, Xiao-Dan
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2015, 427 : 282 - 288
  • [3] The practical analysis of portfolio investment of tile Shanghai Stock Market
    Sun, RJ
    Teng, YP
    Ying, S
    PROCEEDINGS OF THE 2001 INTERNATIONAL CONFERNECE ON MANAGEMENT SCIENCE & ENGINEERING, 2001, : 170 - 172
  • [4] Investment Portfolio Synthesis Problem: Evidence from the Russian Stock Market
    Malakhova, Anna Andreevna
    Sochneva, Elena Nikolaevna
    Dobretsov, Grigory Borisovich
    Starova, Olga Valeryevna
    Zyablikov, Dmitry Valeryevitch
    Savchenko, Evgeny Evgenievitch
    Yarkova, Svetlana Anatolyevna
    Dudina, Svetlana Pavlovna
    Kravtsov, Dmitry Ivanovitch
    ARTIFICIAL INTELLIGENCE TRENDS IN SYSTEMS, VOL 2, 2022, 502 : 345 - 361
  • [5] A new method for better portfolio investment: A case of the Korean stock market
    Eom, Cheoljun
    Park, Jong Won
    PACIFIC-BASIN FINANCE JOURNAL, 2018, 49 : 213 - 231
  • [6] Home tenure, stock market participation, and composition of the household portfolio
    Beaubrun-Diant, Kevin. E.
    Maury, Tristan-Pierre
    JOURNAL OF HOUSING ECONOMICS, 2016, 32 : 1 - 17
  • [7] THE COMPOSITION OF THE MARKET PORTFOLIO AND REAL-ESTATE INVESTMENT PERFORMANCE
    LIU, CH
    HARTZELL, DJ
    GRISSOM, TV
    GREIG, W
    AREUEA JOURNAL-JOURNAL OF THE AMERICAN REAL ESTATE & URBAN ECONOMICS ASSOCIATION, 1990, 18 (01): : 49 - 75
  • [8] Formulation of Stochastic Investment Model of a Stock Market
    Ogbaji E.O.
    Onah E.S.
    Aboiyar T.
    Journal of the Indian Society for Probability and Statistics, 2016, 17 (1) : 25 - 34
  • [9] MATHEMATICAL MODEL OF A SUCCESSFUL STOCK MARKET GAME
    Vereschagina, T. A.
    Yakupov, M. M.
    Khen, V. K.
    BULLETIN OF THE SOUTH URAL STATE UNIVERSITY SERIES-MATHEMATICAL MODELLING PROGRAMMING & COMPUTER SOFTWARE, 2015, 8 (01): : 128 - 131
  • [10] Analysis of risk in linear multi-objective model and its evaluation for selection of a portfolio of investment in the Mexican Stock Exchange
    Zavala-Diaz, Jose C.
    Diaz-Parra, Ocotlan
    Ruiz-Vanoye, Jorge A.
    AFRICAN JOURNAL OF BUSINESS MANAGEMENT, 2011, 5 (19): : 7876 - 7884
12345