Title :
A Decision Support System for Portfolio Optimization in the Mexican Market
Author :
Osorio, Maria A. ; Ballinas, Ana ; Jiminez, Eduardo ; Sanchez, Abel
Author_Institution :
Chem. Eng. Dept., Benemerita Univ. Autonoma de Puebla, Puebla
Abstract :
We present the main elements for a decision support system for portfolio optimization 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 :
decision support systems; financial data processing; simulated annealing; stochastic programming; Mexican market; clustering process; decision support system; financial investment; portfolio optimization model; scenario tree; simulated annealing; stochastic programming; Computational modeling; Decision support systems; Distributed computing; History; Investments; Management information systems; Portfolios; Predictive models; Simulated annealing; Uncertainty; Decision Support System; Portfolio Optimization; Simulated Annealing;
Conference_Titel :
Computer Science, 2008. ENC '08. Mexican International Conference on
Conference_Location :
Baja California
Print_ISBN :
978-0-7695-3439-8
DOI :
10.1109/ENC.2008.29
