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Resolución del problema de carteras de inversión utilizando la heurística de colonia artificial de abejas

Author

Listed:
  • Mauricio I. Gutiérrez Urzúa
  • Patricio Galvez Galvez
  • Benjamin Eltit
  • Hernaldo Reinoso

Abstract

El presente artículo resuelve el problema clásico de optimización de carteras de inversión, usando el modelo de media-varianza y proponiendo una forma de calcular la volatilidad a través de los modelos generalizados autorregresivos condicionalmente heterocedásticos (GARCH). El problema es resuelto a través de una metaheurística bioinspirada, llamada colonia artificial de abejas (artificial bee colony [ABC]), cuyo objetivo es reducir los tiempos de ejecución computacionales presentes en otras soluciones. Los resultados fueron contrarrestados con un trabajo anterior, resuelto con multiplicadores de Lagrange, encontrando una frontera de inversión similar, pero con una reducción del tiempo de ejecución notablemente inferior. Finalmente, se hace referencia a futuros trabajos dentro del área de las finanzas computacionales.

Suggested Citation

  • Mauricio I. Gutiérrez Urzúa & Patricio Galvez Galvez & Benjamin Eltit & Hernaldo Reinoso, 2017. "Resolución del problema de carteras de inversión utilizando la heurística de colonia artificial de abejas," Estudios Gerenciales, Universidad Icesi, vol. 33(145), pages 391-399, November.
    • Handle: RePEc:col:000129:015946
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    File URL: http://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/2720
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    Cited by:

    1. Héctor Alonso Olivares Aguayo, 2021. "Afectaciones financieras en los principales países de América Latina con mayores registros de COVID-19," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(3), pages 1-18, Julio - S.

    More about this item

    Keywords

    Optimización; Inversión; Modelo GARCH; Colonia artificial de abejas;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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