Enriched mathematical model for portfolio optimization of risky assets in Colombia
Trabajo de grado
- Autores:
-
Martínez Camacho, Juan Diego
- Tipo de recurso:
- Trabajo de grado de pregrado
- Fecha de publicación:
- 2022
- Institución:
- Universidad de los Andes
- Repositorio:
- Séneca: repositorio Uniandes
- Idioma:
- eng
- OAI Identifier:
- oai:repositorio.uniandes.edu.co:1992/59245
- Acceso en línea:
- http://hdl.handle.net/1992/59245
- Palabra clave:
- Portfolio
Optimization
Model
Assets
Risk
Return
Colombia
Ingeniería
- Rights
- openAccess
- License
- Attribution-NonCommercial-NoDerivatives 4.0 Internacional
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Enriched mathematical model for portfolio optimization of risky assets in Colombia |
| title |
Enriched mathematical model for portfolio optimization of risky assets in Colombia |
| spellingShingle |
Enriched mathematical model for portfolio optimization of risky assets in Colombia Portfolio Optimization Model Assets Risk Return Colombia Ingeniería |
| title_short |
Enriched mathematical model for portfolio optimization of risky assets in Colombia |
| title_full |
Enriched mathematical model for portfolio optimization of risky assets in Colombia |
| title_fullStr |
Enriched mathematical model for portfolio optimization of risky assets in Colombia |
| title_full_unstemmed |
Enriched mathematical model for portfolio optimization of risky assets in Colombia |
| title_sort |
Enriched mathematical model for portfolio optimization of risky assets in Colombia |
| dc.creator.fl_str_mv |
Martínez Camacho, Juan Diego |
| dc.contributor.advisor.none.fl_str_mv |
Montoya Orozco, Germán Adolfo Lozano Garzon, Carlos Andres |
| dc.contributor.author.none.fl_str_mv |
Martínez Camacho, Juan Diego |
| dc.subject.keyword.none.fl_str_mv |
Portfolio Optimization Model Assets Risk Return Colombia |
| topic |
Portfolio Optimization Model Assets Risk Return Colombia Ingeniería |
| dc.subject.themes.es_CO.fl_str_mv |
Ingeniería |
| description |
Trabajo de grado |
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2022 |
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2022-07-27T21:35:57Z |
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2022-07-27T21:35:57Z |
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2022-06-04 |
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Trabajo de grado - Pregrado |
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eng |
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eng |
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Adebiyi, M., Adebiyi, A. A., Obagbuwa, C. I., & Okesola, J. O. (2019). A Comparative Study of Metaheuristics Techniques for Portfolio Selection Problem. Journal of Engineering and Applied Sciences, 14(6), 2007-2010. Banco de la República. (2019). Estadísticas Económicas. https://totoro.banrep.gov.co/estadisticas-economicas/ Berk, J. B., & DeMarzo, P. M. (2014). Corporate finance (Third Edition). Pearson. Bloomberg L.P. (2019). Historical prices for Colombian securities, 01/01/2017 to 31/12/2019. Retrieved May 4, 2022 from Bloomberg Terminal. Busetti, F. (2006). Heuristic approaches to realistic portfolio optimisation. WIT Transactions on Modelling and Simulation, 43. Cakaric, Faris. (2017). TabuSearch.py. Python solver for integer programming problems using Tabu search. GitHub. https://github.com/farisca/tabu_intprog/blob/master/TabuSearch.py Cesarone, F., Scozzari, A., & Tardella, F. (2009). Efficient algorithms for mean-variance portfolio optimization with hard real-world constraints. Chang, T. J., Meade, N., Beasley, J. E., & Sharaiha, Y. M. (2000). Heuristics for cardinality constrained portfolio optimisation. Computers & Operations Research, 27(13), 1271-1302. Cornuejols, G., & Tütüncü, R. (2006). Optimization methods in finance (Vol. 5). Cambridge University Press. Doering, J., Kizys, R., Juan, A. A., Fito, A., & Polat, O. (2019). Metaheuristics for rich portfolio optimisation and risk management: Current state and future trends. Operations Research Perspectives, 6, 100121. GAMS Development Corporation. (2022). Mathematical Functions. Data Manipulations with Parameters. https://www.gams.com/latest/docs/UG_Parameters.html#UG_Parameters_MathFunctions Gilli, M., Maringer, D., & Schumann, E. (2019). Numerical methods and optimization in finance. Academic Press. Gilli, M., & Këllezi, E. (2000). A heuristic Approach to portfolio optimization (pp. 1-18). FAME. Glover, F. (1990). Tabu search: A tutorial. Interfaces, 20(4), 74-94. Guennoun, Z., & Hamza, F. (2012). Stocks portfolio optimization using classification and genetic algorithms. Applied Mathematical Sciences, 6(94), 4673-4684. Frontline Systems. (2022). Excel Solver ¿ Algorithms and Methods Used. https://www.solver.com/excel-solver-algorithms-and-methods-used Pachamanova, D. A., & Fabozzi, F. J. (2010). Simulation and Optimization in Finance: Modeling with MATLAB,@ RISK, or VBA (Vol. 173). John Wiley & Sons. Peng, J., Li, H., Jiang, Q., Wang, Y., & Chen, J. (2014). An integrative approach for measuring semantic similarities using gene ontology. BMC systems biology, 8(5), 1-12. Figure 3. Superintendencia Financiera de Colombia. (2022). Actualidad del Sistema Financiero Colombiano. https://www.superfinanciera.gov.co/descargas/institucional/pubFile1061006/comsectorfinanciero042022.pdf U.S. Department of the Treasury. (2019). Daily Treasury Par Yield Curve Rates. https://home.treasury.gov/resource-center/data-chart-center/interest-rates/TextView?type=daily_treasury_yield_curve&field_tdr_date_value=2019 Yahoo Inc. (2019). Historical prices for US securities, 01/01/2017 to 31/12/2019. Retrieved May 4, 2022 from Yahoo! Finance. https://finance.yahoo.com/ Zanjirdar, M. (2020). Overview of portfolio optimization models. Advances in Mathematical Finance and Applications, 5(4), 419-435. |
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70 páginas |
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application/pdf |
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Universidad de los Andes |
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Ingeniería de Sistemas y Computación |
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Facultad de Ingeniería |
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Departamento de Ingeniería Sistemas y Computación |
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Attribution-NonCommercial-NoDerivatives 4.0 Internacionalhttp://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Montoya Orozco, Germán Adolfo01421b8f-cae0-4813-b5c3-df59231e570f600Lozano Garzon, Carlos Andresvirtual::3399-1Martínez Camacho, Juan Diego62bc043f-e5c5-4585-93e2-9faa396aa4e26002022-07-27T21:35:57Z2022-07-27T21:35:57Z2022-06-04http://hdl.handle.net/1992/59245instname:Universidad de los Andesreponame:Repositorio Institucional Sénecarepourl:https://repositorio.uniandes.edu.co/Trabajo de gradoThis thesis aims to develop and apply an enriched portfolio optimization model, building on the original Markowitz portfolio theory, that incorporates additional constraints that a portfolio manager would face in Colombia. For this purpose, the theoretical concepts needed to understand the model in its basic form are explained first. Then, an implementation of an enriched portfolio optimization model is proposed. Finally, the model's performance is compared against the original theoretical model and benchmark heuristics.Ingeniero de Sistemas y ComputaciónPregrado70 páginasapplication/pdfengUniversidad de los AndesIngeniería de Sistemas y ComputaciónFacultad de IngenieríaDepartamento de Ingeniería Sistemas y ComputaciónEnriched mathematical model for portfolio optimization of risky assets in ColombiaTrabajo de grado - Pregradoinfo:eu-repo/semantics/bachelorThesisinfo:eu-repo/semantics/acceptedVersionhttp://purl.org/coar/resource_type/c_7a1fTexthttp://purl.org/redcol/resource_type/TPPortfolioOptimizationModelAssetsRiskReturnColombiaIngenieríaAdebiyi, M., Adebiyi, A. A., Obagbuwa, C. I., & Okesola, J. O. (2019). A Comparative Study of Metaheuristics Techniques for Portfolio Selection Problem. Journal of Engineering and Applied Sciences, 14(6), 2007-2010.Banco de la República. (2019). Estadísticas Económicas. https://totoro.banrep.gov.co/estadisticas-economicas/Berk, J. B., & DeMarzo, P. M. (2014). Corporate finance (Third Edition). Pearson.Bloomberg L.P. (2019). Historical prices for Colombian securities, 01/01/2017 to 31/12/2019. Retrieved May 4, 2022 from Bloomberg Terminal.Busetti, F. (2006). Heuristic approaches to realistic portfolio optimisation. WIT Transactions on Modelling and Simulation, 43.Cakaric, Faris. (2017). TabuSearch.py. Python solver for integer programming problems using Tabu search. GitHub. https://github.com/farisca/tabu_intprog/blob/master/TabuSearch.pyCesarone, F., Scozzari, A., & Tardella, F. (2009). Efficient algorithms for mean-variance portfolio optimization with hard real-world constraints.Chang, T. J., Meade, N., Beasley, J. E., & Sharaiha, Y. M. (2000). Heuristics for cardinality constrained portfolio optimisation. Computers & Operations Research, 27(13), 1271-1302.Cornuejols, G., & Tütüncü, R. (2006). Optimization methods in finance (Vol. 5). Cambridge University Press.Doering, J., Kizys, R., Juan, A. A., Fito, A., & Polat, O. (2019). Metaheuristics for rich portfolio optimisation and risk management: Current state and future trends. Operations Research Perspectives, 6, 100121.GAMS Development Corporation. (2022). Mathematical Functions. Data Manipulations with Parameters. https://www.gams.com/latest/docs/UG_Parameters.html#UG_Parameters_MathFunctionsGilli, M., Maringer, D., & Schumann, E. (2019). Numerical methods and optimization in finance. Academic Press.Gilli, M., & Këllezi, E. (2000). A heuristic Approach to portfolio optimization (pp. 1-18). FAME.Glover, F. (1990). Tabu search: A tutorial. Interfaces, 20(4), 74-94.Guennoun, Z., & Hamza, F. (2012). Stocks portfolio optimization using classification and genetic algorithms. Applied Mathematical Sciences, 6(94), 4673-4684.Frontline Systems. (2022). Excel Solver ¿ Algorithms and Methods Used. https://www.solver.com/excel-solver-algorithms-and-methods-usedPachamanova, D. A., & Fabozzi, F. J. (2010). Simulation and Optimization in Finance: Modeling with MATLAB,@ RISK, or VBA (Vol. 173). John Wiley & Sons.Peng, J., Li, H., Jiang, Q., Wang, Y., & Chen, J. (2014). An integrative approach for measuring semantic similarities using gene ontology. BMC systems biology, 8(5), 1-12. Figure 3.Superintendencia Financiera de Colombia. (2022). Actualidad del Sistema Financiero Colombiano. https://www.superfinanciera.gov.co/descargas/institucional/pubFile1061006/comsectorfinanciero042022.pdfU.S. Department of the Treasury. (2019). Daily Treasury Par Yield Curve Rates. https://home.treasury.gov/resource-center/data-chart-center/interest-rates/TextView?type=daily_treasury_yield_curve&field_tdr_date_value=2019Yahoo Inc. (2019). Historical prices for US securities, 01/01/2017 to 31/12/2019. Retrieved May 4, 2022 from Yahoo! Finance. https://finance.yahoo.com/Zanjirdar, M. (2020). Overview of portfolio optimization models. 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