A DSS for stochastic multistage portfolio optimization in the Mexican market / Maria A. Osorio in International journal of management science and engineering management, Vol. 5 N° 2 (Avril 2010)  

Public ISBD [article]  inInternational journal of management science and engineering management > Vol. 5 N° 2 (Avril 2010) . - pp.101-107 Titre : A DSS for stochastic multistage portfolio optimization in the Mexican market Type de document : texte imprimé Auteurs : Maria A. Osorio, Auteur ; Erika Jiménez, Auteur ; Abraham Sánchez, Auteur Année de publication : 2011 Article en page(s) : pp.101-107 Note générale : Management Langues : Anglais (eng) Mots-clés : 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 [article] A DSS for stochastic multistage portfolio optimization in the Mexican market [texte imprimé] / Maria A. Osorio, Auteur ; Erika Jiménez, Auteur ; Abraham Sánchez, Auteur . - 2011 . - pp.101-107. Management Langues : Anglais (eng) in International journal of management science and engineering management > Vol. 5 N° 2 (Avril 2010) . - pp.101-107 Mots-clés : 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

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