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Técnicas metaheurísticas de optimización multiobjetivo para resolver el problema del portafolio de inversión / Metaheuristic techniques of multiobjective optimization to solve the investment portfolio problem

Author

Listed:
  • Reyes Hernández, Naim

    (Universidad Autónoma Metropolitana, Unidad Azcapotzalco, División de Ciencias Básicas e Ingeniería)

  • Ponsich, Antonin

    (Universidad Autónoma Metropolitana, Unidad Azcapotzalco, División de Ciencias Básicas e Ingeniería)

  • Hoyos Reyes, Luis Fernando

    (Universidad Autónoma Metropolitana, Unidad Azcapotzalco, División de Ciencias Básicas e Ingeniería)

Abstract

En este trabajo, se presenta bajo una perspectiva metaheurística el problema multiobjetivo para el portafolio de inversión, que debe minimizar el riesgo, y maximizar el rendimiento esperado. Considerando el modelo de Markowitz se resuelve el problema con dos objetivos describiendo la totalidad del frente de Pareto correspondiente. En este trabajo, se emplean cuatro técnicas metaheurísticas: SPO, NSGA-II, MOEA/D y VEGA y se efectúa un análisis comparativo sobre cinco instancias de investigación en mercados financieros de Hong Kong (Hang Sen31), Alemania (DAX85), Gran Bretaña (FTSE89), Estados Unidos de América (S&P98) y Japón (Nikkei225) empleando una base de datos de marzo de 1992 a septiembre de 1997. / In this paper, the multiobjective problem for the investment portfolio is presented under a metaheuristic perspective, which refers to minimize de risk and maximize the expected return. Considering the Markowitz model, the problem is solved with two objectives describing the whole of the corresponding Pareto front. Four metaheuristic techniques are used: SPO, NSGA-II, MOEA/D Y VEGA and a comparative analysis is carried out on 5 research instances in financial markets of Hong Kong (Hang Sen31), Germany (DAX85), Great Britain (FTSE89), United States of America (S & P98) and Japan (Nikkei225) using a database from March 1992 to September 1997.

Suggested Citation

  • Reyes Hernández, Naim & Ponsich, Antonin & Hoyos Reyes, Luis Fernando, 2018. "Técnicas metaheurísticas de optimización multiobjetivo para resolver el problema del portafolio de inversión / Metaheuristic techniques of multiobjective optimization to solve the investment portfolio," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 8(2), pages 149-182, julio-dic.
    • Handle: RePEc:sfr:efruam:v:8:y:2018:i:2:p:149-182
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    More about this item

    Keywords

    técnicas metaheurísticas; optimización multiobjetivo; portafolio de inversión; frente de Pareto / metaheuristic techniques; multiobjective optimization; investment portfolio; Pareto front;
    All these keywords.

    JEL classification:

    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • 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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