IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this article

Sectorial portfolio analysis with genetic algorithms: case applied to the Mexican Stock Exchange

Listed author(s):
  • Rodríguez García Martha del Pilar

    ()

    (Universidad Autónoma de Nuevo León)

  • Cortez Alejandro Klender Aimer

    ()

    (Universidad Autónoma de Nuevo León)

  • Méndez Sáenz Alma Berenice

    ()

    (Universidad Autónoma de Nuevo León)

  • Garza Sánchez Héctor Horacio

    ()

    (Universidad Autónoma de Nuevo León)

Registered author(s):

    The type of industry, size of company, number of employees, etc. are variables that are considered as control variables in a large number of articles. In this research we consider the sector variable as a determinant of financial performance (Baird et al. 2012) and the risk (Artikis and Nifora, 2011) rather than as a control variable. This paper analyzes six sectors of the Mexican economy divided according to the Mexican Stock Exchange: industrial, basic consumer products, materials, non basic consumer products, telecommunications and financial services. The sample consists of Mexican companies, that is, 30 companies in the 2007-2012 period. To measure portfolio performance two classic indicators are used: (1) Jensen alpha and (2) Sharpe ratio, and also conditional metrics are used that measures the number of times the portfolio return exceeds the market average. The goal is to find a portfolio that maximizes these parameters and compare the results between the different sectors under study. Due to a nonlinear programming problem, genetic algorithms are used to obtain the optimal portfolio that maximizes these metrics. The results show a better risk-adjusted financial performance in the field of materials and financial services and a lower performance in such sectors as the industrial and telecommunications ones.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.cya.unam.mx/index.php/cya/article/view/5
    Download Restriction: no

    Article provided by Accounting and Management in its journal Contaduría y Administración.

    Volume (Year): 60 (2015)
    Issue (Month): 1 (enero-marzo)
    Pages: 87-112

    as
    in new window

    Handle: RePEc:nax:conyad:v:60:y:2015:i:1:p:87-112
    Contact details of provider: Postal:
    Circuito exterior s/n, Ciudad Universitaria, Del. Coyoacón, C. P. 04510, México D.F.

    Web page: http://www.fca.unam.mx/

    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:nax:conyad:v:60:y:2015:i:1:p:87-112. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alberto García-Narvaez (Technical Editor))

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.