A Decision Support System for Portfolio Optimization in the Mexican Market

Author

Osorio, Maria A. ; Ballinas, Ana ; Jiminez, Eduardo ; Sanchez, Abel

Author_Institution

Chem. Eng. Dept., Benemerita Univ. Autonoma de Puebla, Puebla

fYear

2008

fDate

6-10 Oct. 2008

Firstpage

283

Lastpage

294

Abstract

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.

Keywords

decision support systems; financial data processing; simulated annealing; stochastic programming; Mexican market; clustering process; decision support system; financial investment; portfolio optimization model; scenario tree; simulated annealing; stochastic programming; Computational modeling; Decision support systems; Distributed computing; History; Investments; Management information systems; Portfolios; Predictive models; Simulated annealing; Uncertainty; Decision Support System; Portfolio Optimization; Simulated Annealing;

fLanguage

English

Publisher

ieee

Conference_Titel

Computer Science, 2008. ENC '08. Mexican International Conference on

Conference_Location

Baja California

ISSN

1550-4069

Print_ISBN

978-0-7695-3439-8

Type

conf

DOI

10.1109/ENC.2008.29

Filename

4653263