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/as

Samuel De Greiff Universidad EAFIT
Juan Carlos Rivera Universidad EAFIT

DOI:

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

Palabras clave:

Algoritmos genéticos, Optimización de portafolios, Modelo de media-varianza, Costos de transacción, Optimización multiobjetivo

Resumen

Este trabajo aborda la optimización de portafolios teniendo en cuenta restricciones impuestas por los mercados financieros y condiciones de proyectos con exceso de liquidez, como costos de transacción, presupuesto limitado y horizontes de tiempo cortos. Ante estas condiciones, se ha encontrado que los modelos convencionales pueden generar portafolios ineficientes. Por lo tanto, se formula un modelo matemático y se implementa un algoritmo genético multiobjetivo para hallar portafolios eficientes en la Bolsa de Valores de Colombia, minimizando el riesgo y maximizando la rentabilidad. Adicionalmente, se presentan resultados que permiten comparar los portafolios obtenidos con el modelo propuesto y el modelo de media-varianza, mostrando la importancia de los costos de transacción y el presupuesto en la toma de decisiones de inversión.

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Biografía del autor/a

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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