Mathematical Multi-objective Model for the selection of a portfolio of investment in the Mexican Stock Market

A mathematical multi objective model for the selection of a portfolio of investment is presented and its application in the Mexican Stock Exchange (BMV). The multi objective model proposed is based on our mathematical model of linear programming recently published. Our multi object model is developed whereas the e-constrains method, with which the model remains linear and each iteration the SIMPLEX can be used to determine its solution. Our model is tested with the selection of a portfolio of investment with ten assets of the BMV, where our results are better than those obtained with maximum return and minimal risk models resolved independently.

• Type: Journal
• Year: 2010
• Where: AISS
• Authors: José Crispín Zavala Díaz, Marco Antonio Cruz-Chavez, Martín Heriberto Cruz-Rosales
• Keywords: AISS 2010, Mexican Stock Exchange, Minimal Risk Models, Model