Heuristic Methods for Portfolio Selection at the Mexican Stock Exchange

Abstract

Portfolio selection represents a challenge where investors look for the best firms of the market to be selected. This research presents a real world application at the Mexican Stock Exchange (La Bolsa) using a set of heuristic algorithms for portfolio selection. The heuristic algorithms (random, genetic, greedy, hill-climbing and simulated annealing) were implemented based on the Markowitz Model where the investor can select the size of the portfolio as well as the expected return.

DOI: 10.1007/978-3-540-45080-1_130

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Cite this paper

@inproceedings{CoutinoGomez2003HeuristicMF, title={Heuristic Methods for Portfolio Selection at the Mexican Stock Exchange}, author={Cesar A. Coutino-Gomez and Jos{\'e} Torres-Jim{\'e}nez and Brenda M. Villarreal-Antelo}, booktitle={IDEAL}, year={2003} }