Mathematical Model for Optimizing the Composition of an Investment Portfolio for the Mezican Stock Market
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.
Jose Crispin Zavala-Diaz Joaquin Perez-Ortega Rodolfo Pazos R. Dalia Vianey Garcia V. Laura Cruz-Reyes
FCAel Universidad Autonoma de Morelos Centro Nacional de Investigation y Desarrollo Tecnologico Instituto Tecnologico de Cd.Madero
国际会议
三亚
英文
463-467
2009-04-24（万方平台首次上网日期，不代表论文的发表时间）