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International Conference on Intelligent Data Engineering and Automated Learning

IDEAL 2003: Intelligent Data Engineering and Automated Learning pp 919–923Cite as

Heuristic Methods for Portfolio Selection at the Mexican Stock Exchange

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Part of the book series: Lecture Notes in Computer Science ((LNCS,volume 2690))

Abstract

Portfolio selection represents a challenge where investors look for the best firms of the market to be selected. This research presents a real world application at the Mexican Stock Exchange (La Bolsa) using a set of heuristic algorithms for portfolio selection. The heuristic algorithms (random, genetic, greedy, hill-climbing and simulated annealing) were implemented based on the Markowitz Model where the investor can select the size of the portfolio as well as the expected return.

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References

  1. Ghasemzadeh, F., Archer, N.P.: Project Portfolio Selection through Decision Support. Decision Support Systems, pp. 73–88. Elsevier, Amsterdam (2000)

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  2. Campbell, J., et al.: The Econometrics of Financial Markets. Princeton University Press, Princeton (1997)

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  3. Michalewicz, Z., Fogel, D.B.: How to Solve It: Modern Heuristics. Springer, Berlin (1996)

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  4. Michalewicz, Z.: Genetic Algorithms + Data Structures = Evolution Programs. 3rd edn

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Author information

Authors and Affiliations

  1. Departamento de Computacion, Tecde Monterrey, Campus Ciudad de Mexico, Calle del Puente 222, Col. Ejidos de Huipulco, Tlalpan, D.F., Mexico, 14380

    Cesar A. Coutino-Gomez, Jose Torres-Jimenez & Brenda M. Villarreal-Antelo

Authors
  1. Cesar A. Coutino-Gomez
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  2. Jose Torres-Jimenez
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  3. Brenda M. Villarreal-Antelo
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Editor information

Editors and Affiliations

  1. Department of Computer Science, Hong Kong Baptist University, Kowloon Tong, Hong Kong

    Jiming Liu

  2. Department of Computer Science, Hong Kong Baptist University, Hong Kong

    Yiu-ming Cheung

  3. School of Electrical and Electronic Engineering, University of Manchester, UK

    Hujun Yin

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© 2003 Springer-Verlag Berlin Heidelberg

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Cite this paper

Coutino-Gomez, C.A., Torres-Jimenez, J., Villarreal-Antelo, B.M. (2003). Heuristic Methods for Portfolio Selection at the Mexican Stock Exchange. In: Liu, J., Cheung, Ym., Yin, H. (eds) Intelligent Data Engineering and Automated Learning. IDEAL 2003. Lecture Notes in Computer Science, vol 2690. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-45080-1_130

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  • DOI: https://doi.org/10.1007/978-3-540-45080-1_130

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-40550-4

  • Online ISBN: 978-3-540-45080-1

  • eBook Packages: Springer Book Archive

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