Examinando por Autor "De Greiff, Samuel"
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Ítem Investment portfolio optimization with transaction costs through a multiobjective genetic algorithm: an applied case to the Colombian Stock Exchange(Universidad Icesi, 2018-01-01) De Greiff, Samuel; Carlos Rivera, Juan; Universidad EAFIT. Escuela de Ciencias; Modelado MatemáticoThis paper discusses portfolio optimization by considering constraints imposed by financial markets and conditions of projects with excess liquidity, such as transaction costs, limited budget and short time planning horizons. In light of these constraints, conventional models are found to generate non-efficient portfolios. Consequently, a mathematical model is formulated and a multiobjective genetic algorithm is implemented in order to find efficient portfolios in the Colombian Stock Exchange (Bolsa de Valores de Colombia), minimizing risks and maximizing profits. In addition, results are shown which allow comparison between those portfolios obtained through the proposed model and the mean-variance model, highlighting the importance of transaction costs and budget in investment decision making.Publicación Investment portfolio optimization with transaction costs through a multiobjective genetic algorithm: an applied case to the Colombian Stock Exchange(Universidad Icesi, 2018-01-01) De Greiff, Samuel; Carlos Rivera, Juan; Universidad EAFIT. Departamento de Ciencias; Matemáticas y AplicacionesThis paper discusses portfolio optimization by considering constraints imposed by financial markets and conditions of projects with excess liquidity, such as transaction costs, limited budget and short time planning horizons. In light of these constraints, conventional models are found to generate non-efficient portfolios. Consequently, a mathematical model is formulated and a multiobjective genetic algorithm is implemented in order to find efficient portfolios in the Colombian Stock Exchange (Bolsa de Valores de Colombia), minimizing risks and maximizing profits. In addition, results are shown which allow comparison between those portfolios obtained through the proposed model and the mean-variance model, highlighting the importance of transaction costs and budget in investment decision making.Ítem Modelo Agronómico Sostenible para Pequeños Agricultores(Hugo Hernando Andrade Sosa, 2009-09-11) De Greiff, Samuel; Quintero Ortiz Luis AntonioEn el presente trabajo se aborda el problema de la sostenibilidad en los procesos productivos de pequeños productores, quienes pueden implementar cultivos de caucho, cacao y yuca, emprendiendo una estrategia que combine adecuadamenteÍtem Optimización de portafolios de inversión con costos de transacción utilizando un algoritmo genético multiobjetivo: caso aplicado a la Bolsa de Valores de Colombia(Universidad Icesi, 2018-01-31) Rivera, Juan Carlos; De Greiff, Samuel; Universidad EAFIT. Escuela de Ciencias; Modelado MatemáticoPublicación Optimización de portafolios de inversión con costos de transacción utilizando un algoritmo genético multiobjetivo: caso aplicado a la Bolsa de Valores de Colombia(Universidad Icesi, 2018-01-31) Rivera, Juan Carlos; De Greiff, Samuel; Universidad EAFIT. Departamento de Ciencias; Matemáticas y Aplicaciones