| Titre : | A DSS for stochastic multistage portfolio optimization in the Mexican market (2011) |
| Auteurs : | Maria A. Osorio, Auteur ; Erika Jiménez, Auteur ; Abraham Sánchez, Auteur |
| Type de document : | Article : texte imprimé |
| Dans : | International journal of management science and engineering management (Vol. 5 N° 2, Avril 2010) |
| Article en page(s) : | pp.101-107 |
| Note générale : | Management |
| Langues : | Anglais |
| Tags : | Decision support systems Stochastic optimization Portfolio |
| Résumé : | We present the main elements for a decision support system for portfolio management in the Mexican market, including the financial investments consideration for a database, the uncertainty representation in scenario trees and the requirements for a portfolio optimization model. We used a stochastic programming approach to formulate the multistage optimization model, modified with new constraints and solved it with a Simulated Annealing procedure. The scenario tree was generated by a simulation and clustering process. |
| REFERENCE : | 1750-9653 |
| DEWEY : | 658 |
| En ligne : | http://www.ijmsem.org/OnlineJournal.do/?122.html |
