Investment portfolio optimization with transaction costs through a multiobjective genetic algorithm: an applied case to the Colombian Stock Exchange

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dc.citation.journalTitleEstudios Gerencialeseng
dc.contributor.authorDe Greiff, Samuel
dc.contributor.authorCarlos Rivera, Juan
dc.contributor.departmentUniversidad EAFIT. Escuela de Cienciasspa
dc.contributor.researchgroupModelado Matemáticospa
dc.date.accessioned2021-04-12T14:07:15Z
dc.date.available2021-04-12T14:07:15Z
dc.date.issued2018-01-01
dc.description.abstractThis 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.eng
dc.identifierhttps://eafit.fundanetsuite.com/Publicaciones/ProdCientif/PublicacionFrw.aspx?id=8310
dc.identifier.doi10.18046/j.estger.2018.146.2812
dc.identifier.issn01235923
dc.identifier.otherWOS;000441581100008
dc.identifier.urihttp://hdl.handle.net/10784/27800
dc.language.isospaeng
dc.publisherUniversidad Icesi
dc.rightshttps://v2.sherpa.ac.uk/id/publication/issn/0123-5923
dc.sourceEstudios Gerenciales
dc.subject.keywordgenetic algorithmseng
dc.subject.keywordportfolio optimizationeng
dc.subject.keywordmean-variance modeleng
dc.subject.keywordtransaction costseng
dc.subject.keywordmultiobjective optimizationeng
dc.titleInvestment portfolio optimization with transaction costs through a multiobjective genetic algorithm: an applied case to the Colombian Stock Exchangeeng
dc.typearticleeng
dc.typeinfo:eu-repo/semantics/articleeng
dc.typeinfo:eu-repo/semantics/publishedVersioneng
dc.typepublishedVersioneng
dc.type.localArtículospa

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