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Full Length Research
Paper
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Analysis of risk in linear multi-objective model and its
evaluation for selection of a portfolio of investment in the
Mexican Stock Exchange
José C. Zavala-Díaz1*,
Ocotlán Díaz-Parra1 and Jorge A. Ruiz-Vanoye2
1Universidad
Autónoma del Estado de Morelos, México.
2Universidad
Popular Autónoma del Estado de Puebla, México.
*Corresponding author. E-mail:
crispin_zavala@uaem.mx.
Accepted
30 May, 2011 |
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Abstract |
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Each model
designed to select an investment portfolio is based on different
assumptions for estimating the risk and the return. These
assumptions determine feasible solutions area and the front of
efficient portfolios. Therefore, the assumptions of Markowitz
model, capital assets pricing model and the linear
multi-objective model are discussed. A portfolio of investments
in different scenarios was determined by the last two models,
and it is showed that the portfolio of investment determined by
linear multi-objective model has higher return at lower risk.
These tests also evaluated the assumptions of the models. It
concludes that it is possible to gain a competitive advantage if
another point of view will be considered in the selection of the
investment portfolio.
Key words:
Multi-objective linear programming, investment portfolio,
Mexican Stock Exchange.
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