A DSS for stochastic multistage portfolio optimization in the Mexican market

Author

Osorio, Maria A. ; Jiménez, Erika ; Sánchez, Abraham

Author_Institution

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

fYear

2008

fDate

8-11 Dec. 2008

Firstpage

112

Lastpage

117

Abstract

We present the main elements for a decision support system for portfolio management 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

database management systems; decision support systems; financial data processing; investment; marketing data processing; simulated annealing; stochastic processes; Mexican market; clustering process; decision support system; simulated annealing; stochastic multistage portfolio optimization; stochastic programming approach; uncertainty representation; Computational modeling; Data analysis; Databases; Decision support systems; History; Investments; Portfolios; Predictive models; Simulated annealing; Stochastic processes; Decision Support Systems; Portfolio Optimization; Stochastic Optimization;

fLanguage

English

Publisher

ieee

Conference_Titel

Industrial Engineering and Engineering Management, 2008. IEEM 2008. IEEE International Conference on

Conference_Location

Singapore

Print_ISBN

978-1-4244-2629-4

Electronic_ISBN

978-1-4244-2630-0

Type

conf

DOI

10.1109/IEEM.2008.4737842

Filename

4737842