Repositorio Institucional Universidad EAFIT ::Examinando por Materia "INVERSIONES

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Optimización de portafolios : un análisis comparativo de estrategias convencionales vs. algoritmos genéticos para los mercados de Estados Unidos y Colombia
(Universidad EAFIT, 2024) Vélez Bunzl, Juan José; Botero Ramírez, Juan Carlos
Investment portfolio optimization is an aspect of vital interest for investors; considering there are different methods for achieving this goal, the question arises about which of them allows to obtain the optimal portfolio. The purpose of this thesis is to perform a comparison between different approaches such as Markowitz and inverse variance, among others, with an optimization technique using genetic algorithms. Furthermore, it is intended to analyze the results obtained by these methodologies in a developed market like the United States and in a less developed one like Colombia. To do this, historical data on 10 of the leading stocks from the S&P500 and Colcap indexes were collected, while portfolios were constructed using Matlab and Phyton; with this, it is expected to demonstrate whether the use of artificial intelligence (AI) techniques such as genetic algorithms, can generate portfolios with a better performance than those produced through other methodologies. Also, it is important to assess the influence of the type of market we are dealing with in this outcome.