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La selección de carteras mediante programación por metas lexicográficas entera: una aplicación al mercado continuo español/Integer lexicographic goal programming for portfolio selection: an application to the spanish permanent market

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  • PADILLA GARRIDO, NURIA

    () (Departamento de Economía General y Estadística. Facultad de Ciencias Empresariales. Universidad de Huelva. Plaza de la Merced, 11. 21002 – Huelva. Tfno. 959017837; Fax:959017828.)

  • GUERRERO CASAS, FLOR MARÍA

    () (Departamento de Economía y Empresa. Facultad de Ciencias Empresariales. Universidad Pablo de Olavide. Carretera de Utrera, Km.1- 41013 Sevilla. Tfno:954349279; Fax: 954349204.)

Abstract

Desde el nacimiento de la Teoría de Carteras en 1952, hemos sido testigos de una amplia proliferación de modelos destinados a buscar la combinación de títulos más adecuada para cada tipo de inversor. Sin embargo, la revisión de los mismos nos ha permitido descubrir que plantean serias dificultades en la resolución de este problema de inversión. Entre ellas podemos destacar las relacionadas con la metodología que utilizan, así como la consideración de la selección de carteras como un problema de carácter continuo. Con el propósito de solventar estos inconvenientes, proponemos la construcción de un modelo alternativo utilizando una técnica multiobjetivo denominada Programación por Metas Lexicográficas Entera. Además, y con objeto de facilitar su comprensión al igual que demostrar su validez empírica, lo aplicaremos a un caso real que utiliza valores que cotizan en el mercado continuo español. Since the birth of the Portfolio Theory in 1952, we have witnessed the appearance of numerous models aiming at identifying the best stock combination for every type of investor. However, our review of these models shows that their use for resolving investing problems presents serious difficulties. We can highlight those related to the methodology used, and the fact that they deal with the portfolio as a continous problem. In order to solve these two shortcomings, we suggest an alternative model using a multiobjective technique called Integer Lexicographic Goal Programming. In addition, an in order to facilitate understanding and demonstrate its empirical validity, we apply it to a real case using shares from the Spanish Permanent Market.

Suggested Citation

  • Padilla Garrido, Nuria & Guerrero Casas, Flor María, 2005. "La selección de carteras mediante programación por metas lexicográficas entera: una aplicación al mercado continuo español/Integer lexicographic goal programming for portfolio selection: an applicatio," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 23, pages 167-185, Abril.
  • Handle: RePEc:lrk:eeaart:23_1_9
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    References listed on IDEAS

    as
    1. Pendaraki, K. & Zopounidis, C. & Doumpos, M., 2005. "On the construction of mutual fund portfolios: A multicriteria methodology and an application to the Greek market of equity mutual funds," European Journal of Operational Research, Elsevier, vol. 163(2), pages 462-481, June.
    2. Amador, Francisco & Romero, Carlos, 1989. "Redundancy in lexicographic goal programming: An empirical approach," European Journal of Operational Research, Elsevier, vol. 41(3), pages 347-354, August.
    3. Lee, Sang M & Lerro, A J, 1973. "Optimizing the Portfolio Selection for Mutual Funds," Journal of Finance, American Finance Association, vol. 28(5), pages 1087-1102, December.
    4. Tamiz, M. & Mirrazavi, S. K. & Jones, D. F., 1999. "Extensions of Pareto efficiency analysis to integer goal programming," Omega, Elsevier, vol. 27(2), pages 179-188, April.
    5. William J. Baumol, 1963. "An Expected Gain-Confidence Limit Criterion for Portfolio Selection," Management Science, INFORMS, vol. 10(1), pages 174-182, October.
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    More about this item

    Keywords

    Selección de Carteras; Decisión Multicriterio; Programación por Metas Lexicográficas Entera./Portfolio Selection; Multicriteria Decision; Integer Lexicographic Goal Programming.;

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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