Selection of an investment portfolio by means of multi-objective mathematical model applied to mexican stock market in period of debacle

The selection of a portfolio of investment through a multi-objective mathematical model indicates that it possible have several available portfolios. In our model, the selection of one of them is performed with the same principle used by the Capital Assets Pricing Model, a single point touches the border of optimal portfolios. The model is tested with selection of an investment portfolio during period debacle of the Mexican Stock Market. This is possible because our model can be applied when there is no positive return. The results show that it is possible to obtain profit positive investment portfolios in periods of debacle.