Optimización de portafolios de inversión con costos de transacción utilizando un algoritmo genético multiobjetivo: caso aplicado a la Bolsa de Valores de Colombia

Samuel De Greiff; Juan Carlos Rivera

doi:10.18046/j.estger.2018.146.2812

Autores

Samuel De Greiff Universidad EAFIT
Juan Carlos Rivera Universidad EAFIT

DOI:

https://doi.org/10.18046/j.estger.2018.146.2812

Palavras-chave:

Algoritmos genéticos, Optimização de portfólios, Modelo de variância media, Custos de transação, Optimização multiobejtivo

Resumo

Este artigo aborda a optimização de portfólios levando em consideração as restrições impostas pelos mercados financeiros e as condições de projetos com excesso de liquidez, como custos de transação, orçamento limitado e horizontes curtos de tempo. Dadas essas condições, verificou-se que os modelos convencionais podem gerar carteiras ineficientes. Portanto, formula-se um modelo matemático e implementase um algoritmo genético multiobjetivo para encontrar portfólios eficientes na Bolsa de Valores da Colômbia, minimizando o risco e maximizando a lucratividade. Além disso, apresentam-se resultados que permitem comparar os portfólios obtidos com o modelo proposto e o modelo de variância media, mostrando a importância dos custos de transação e do orçamento na tomada de decisões de investimento.

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Biografia do Autor

Samuel De Greiff, Universidad EAFIT

Investigador, Departamento de Organización y Gerencia, Escuela de Administración, Universidad EAFIT, Medellín, Colombia.
Juan Carlos Rivera, Universidad EAFIT

Profesor Investigador, Departamento de Ciencias Matemáticas, Escuela de Ciencias, Universidad EAFIT, Medellín, Colombia.

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