Examinando por Materia "simulacion rolling horizon"

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    Desarrollo de una interfaz gráfica para la implementación de modelos de optimización robusta de portafolios
    (Universidad Eafit, 2020) González Guatibonza, José Nicolás; Laniado Rodas, Henry
    This research work addresses the problem of optimization of asset portfolios by making an initial approach to the classic optimization models derived from "Portfolio Selection*" (1952), the pioneering work of Henry Markowitz, covering the models of mean and minimal variance along with the equally weighted investment distribution model. From the investigation of their weaknesses, a new approach is made to those that propose the use of robust statistical estimators and the elimination of outliers in the time series involved in the optimization process, including the use of the minimum determinant algorithm of the covariance matrix (Fast-MCD) and that of a new statistical estimator of such matrix by means of a shrinkage to its sample form and the application of a model that involves the use of the comedian as a statistically robust estimator of the matrix, which is object of a subsequent shrinkage process. Next, the development of a graphical user interface on Matlab numerical computing software is presented, which implements the models studied and offers an interactive means of learning and performance analysis, thus leaving a precedent for developing software open to future improvements and investigative uses.