Title :
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
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;
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
DOI :
10.1109/IEEM.2008.4737842
