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La selección de carteras mediante programación por metas lexicográficas entera: una aplicación al mercado continuo español/Integer lexicographic goal programming for portfolio selection: an application to the spanish permanent market
| Content Provider | Semantic Scholar |
|---|---|
| Author | Garrido, Nuria Padilla Casas, Flor María Guerrero |
| Copyright Year | 2005 |
| Abstract | Desde el nacimiento de la Teoria de Carteras en 1952, hemos sido testigos de una amplia proliferacion de modelos destinados a buscar la combinacion de titulos mas adecuada para cada tipo de inversor. Sin embargo, la revision de los mismos nos ha permitido descubrir que plantean serias dificultades en la resolucion de este problema de inversion. Entre ellas podemos destacar las relacionadas con la metodologia que utilizan, asi como la consideracion de la seleccion de carteras como un problema de caracter continuo. Con el proposito de solventar estos inconvenientes, proponemos la construccion de un modelo alternativo utilizando una tecnica multiobjetivo denominada Programacion por Metas Lexicograficas Entera. Ademas, y con objeto de facilitar su comprension al igual que demostrar su validez empirica, lo aplicaremos a un caso real que utiliza valores que cotizan en el mercado continuo espanol. Since the birth of the Portfolio Theory in 1952, we have witnessed the appearance of numerous models aiming at identifying the best stock combination for every type of investor. However, our review of these models shows that their use for resolving investing problems presents serious difficulties. We can highlight those related to the methodology used, and the fact that they deal with the portfolio as a continous problem. In order to solve these two shortcomings, we suggest an alternative model using a multiobjective technique called Integer Lexicographic Goal Programming. In addition, an in order to facilitate understanding and demonstrate its empirical validity, we apply it to a real case using shares from the Spanish Permanent Market. |
| Starting Page | 167 |
| Ending Page | 185 |
| Page Count | 19 |
| File Format | PDF HTM / HTML |
| Volume Number | 23 |
| Alternate Webpage(s) | http://rabida.uhu.es/dspace/bitstream/handle/10272/10757/La_seleccion_de_carteras.pdf;jsessionid=E7A411F0138F76D92E2311BEA33E6366?sequence=2 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
