Optimization Of Utility Function Of The Demand For Financial Assets Optimizacion De La Funcion De Utilidad De La Demanda De Activos Financieros

The objective of this study is to demonstrate that returns on financial assets of ten companies listed on the Mexican Stock Exchange are not normally distributed. We use multi-objective optimization to simultaneously reconcile objectives, maximize performance, minimize variance, maximize asymmetry and at the same time minimizes risk. Portfolio theory assumes that in the selection of assets, the distribution of financial returns behaves according to the normal curve and mean and variance are decision parameters. New findings show that distributions of financial series are characterized by thick tails, characteristics of asymmetry, non-linearity, non-normal distribution, variety of parametric and non-parametric distributions. Consequently, the mean and variance may be insufficient. The distribution of returns on financial assets of ten companies listed on the Mexican Stock Exchange is not normally distributed. Multi-objective optimization maximizes performance, minimizes variance and maximizes asymmetry. There is greater demand for AC, Alsea, Bachoco, Gap and Gruma assets and lower demand for Peñoles, Azur B and OMA B shares. Each portfolio presents positive asymmetry indicating the probability of high yields, maximizing the utility function of the investor