Selection of an Investment Portfolio by Means of a Mathematical Model of Optimization Applied to Mexican Stock-Market in Period of Debacle

In this paper appears a behavior analysis of the Mexican stock-market between a previous period to the economic debacle of the 2008 and during the period of the first month of the debacle. We propose to use a mathematical model of linear programming for the selection of an investment portfolio in Mexican stock-market. The mathematical model is based on the modification of Markowitz Model and Capital Assets Pricing Model. The model proposed contains two functions objective: (1) to maximize the return and (2) to minimize the risk. The Application of the proposed model to select an investment portfolio was realized with the public data of Mexican stock-market taking a sample from the stock-exchange, than they are part of the calculation of the Index of Prices and Quotations. The results show that our model is able to determine an investment portfolio with very different scenes and in period of debacle. Also it does determine that when comparing two investment portfolios are better to select the portfolio with the greater return instead of the portfolio with the smaller risk.