Mathematical Model for Optimizing the Composition of an Investment Portfolio for the Mexican 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.