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Optimización de la utilidad esperada de un portafolio a partir del método de entropía cruzada

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  • Gibrán Sayeg Sánchez

    (Tecnológico de Monterrey)

  • María Elizabeth Delgado Ramírez

    (Tecnológico de Monterrey)

Abstract

This article uses a heuristic algorithm of cross entropy to propose a solution for the optimization of portfolios with weight constraints in each of its assets. The optimal values of the parameters in the methodology are verified and further a comparison between the obtained solutions and the optimal found by numerical methods is provided, specifically generalized gradient reduced method is used to optimize the expected utility of the investor in each of the provided portfolios. The cross entropy methodology was originally used in thermodynamics and has slowly seeped into other disciplines. This article shows how this methodology may be applied in finance, specifically in optimizing investment portfolios

Suggested Citation

  • Gibrán Sayeg Sánchez & María Elizabeth Delgado Ramírez, 2013. "Optimización de la utilidad esperada de un portafolio a partir del método de entropía cruzada," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 7(2), pages 83-100.
    • Handle: RePEc:ega:rafega:201310
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    File URL: http://alejandria.ccm.itesm.mx/egap/documentos/2013V7A10Sayeg-Delgado.pdf
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    2. Dentcheva, Darinka & Ruszczynski, Andrzej, 2006. "Portfolio optimization with stochastic dominance constraints," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 433-451, February.
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