Diversification of investment amounts in a currency portfolio through GRG and Evolutionary Algorithms

Investment portfolios are collections of exchange instruments that aim to generate a maximum gain with a minimal risk, their design, usually done through a series of equations formulated by Harry Markowitz, which have as purpose to build an optimal portfolio from diversification, in other words, to...

Full description

Saved in:
Bibliographic Details
Published inProgramación Matemática y Software Vol. 13; no. 2
Main Authors Juan Fernando Garcí Mejía, Yenit Martínez Garduño, Pedro Lizola-Margulis, Filiberto Enrique Valdés Medina
Format Journal Article
LanguageEnglish
Published Universidad Autónoma del Estado de Morelos 01.06.2021
Subjects
Currency Portafolio
Differential Evolution
Genetic Algorithm
Online AccessGet full text

Cover

More Information
Summary:Investment portfolios are collections of exchange instruments that aim to generate a maximum gain with a minimal risk, their design, usually done through a series of equations formulated by Harry Markowitz, which have as purpose to build an optimal portfolio from diversification, in other words, to assign to the assets different investment amounts. According to the specialized literature, these are usually calculated by means of a nonlinear programming method called Generalized Reduced Gradient (GRG), and also by evolutionary algorithms such as the Differential Evolution algorithm and the Genetic Algorithm in binary codings or Gray. This proposal presents the construction of an alternative investment portfolio called a currencies portfolio composed of six currencies yields regarding the Mexican peso. The amounts to be invested in each currency are formulated according to different scenarios, solved by the GRG and compared with solutions obtained by a Differential Evolution algorithm and a Genetic Algorithm, the latter demonstrated it is the best calculation option, it should be noted that the heuristic methods were coded with real numbers.
ISSN:2007-3283