African Journal of Business Management
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Article Number - F7C9D9717480


Vol.5(19), pp. 7876-7884 , September 2011
DOI: 10.5897/AJBM10.1533
ISSN: 1993-8233



Full Length Research Paper

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.

 


Email: crispin_zavala@uaem.mx






 Accepted: 30 May 2011  Published: 09 September 2011

Copyright © 2011 Author(s) retain the copyright of this article.
This article is published under the terms of the Creative Commons Attribution License 4.0


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.

 


APA (2011). Analysis of risk in linear multi-objective model and its evaluation for selection of a portfolio of investment in the Mexican Stock Exchange. African Journal of Business Management, 5(19), 7876-7884.
Chicago Jos&e C. Zavala-D&iaz, Ocotl&an D&iaz-Parra and Jorge A. Ruiz-Vanoye. "Analysis of risk in linear multi-objective model and its evaluation for selection of a portfolio of investment in the Mexican Stock Exchange." African Journal of Business Management 5, no. 19 (2011): 7876-7884.
MLA Jos&e C. Zavala-D&iaz, Ocotl&an D&iaz-Parra and Jorge A. Ruiz-Vanoye. "Analysis of risk in linear multi-objective model and its evaluation for selection of a portfolio of investment in the Mexican Stock Exchange." African Journal of Business Management 5.19 (2011): 7876-7884.
   
DOI 10.5897/AJBM10.1533
URL http://www.academicjournals.org/journal/AJBM/article-abstract/F7C9D9717480

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