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

Authors

  • Juan Fernando Garcí Mejía Universidad Autónoma del Estado de México Centro Universitario UAEM Atlacomulco Carretera Toluca-Atlacomulco Km. 60 Atlacomulco México
  • Yenit Martínez Garduño Universidad Autónoma del Estado de México Centro Universitario UAEM Atlacomulco Carretera Toluca-Atlacomulco Km. 60 Atlacomulco México.
  • Pedro Lizola-Margulis Universidad Autónoma del Estado de México Facultad de Contaduría y Administración Cerro de Coatepec
  • Filiberto Enrique Valdés Medina Universidad Autónoma del Estado de México Facultad de Contaduría y Administración Cerro de Coatepec

DOI:

https://doi.org/10.30973/progmat/2021.13.2/1

Keywords:

Genetic Algorithm, Currency Portafolio, Differential Evolution

Abstract

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.

Author Biographies

Juan Fernando Garcí Mejía, Universidad Autónoma del Estado de México Centro Universitario UAEM Atlacomulco Carretera Toluca-Atlacomulco Km. 60 Atlacomulco México

Dr. Juan Fernando García Mejía holds a PhD in Projects from the Universidad CEPES. He is a full-time professor at the Centro Universitario UAEM Atlacomulco of the Universidad Autónoma del Estado de México, leader of the Development of Software, Devices and Systems Applied to Technological Innovation academic group registered with the Secretariat of Public Education. Author of several book chapters and indexed articles. Has been a guest professor at the Universidad Autónoma Nacional de Cordoba in Argentina and the Universidad Autónoma de Encarnación in Paraguay. His research work is focused on computational intelligence applications in finance, manufacturing, power converters and automatic control.

Yenit Martínez Garduño, Universidad Autónoma del Estado de México Centro Universitario UAEM Atlacomulco Carretera Toluca-Atlacomulco Km. 60 Atlacomulco México.

She holds a degree in Accounting from the Universidad Autónoma del Estado de México, Master’s in business administration marketing Area, Doctor in Administration and Certified Academic in Public Accounting by ANFECA. Among his studies are diploma courses from various institutions. Her line of research is related to financial issues, she is the compiler of the books: Fiscal, financial and social responsibility trends in the 21st century, and Select topics of organizations: an academic vision. She is the author of articles published in memoirs of national and international congresses, book chapters and indexed magazines. She is currently a research professor at UAEM, and holds the position of Director of the Centro Universitario UAEM Atlacomulco.

Pedro Lizola-Margulis, Universidad Autónoma del Estado de México Facultad de Contaduría y Administración Cerro de Coatepec

Doctor in Administration from the Universidad Politécnica de Cataluña (UPC), Master in Administration from the Escuela Superior de Administración y Dirección de Empresas (ESADE), both in Barcelona, Spain, and Degree in Business Administration from the Universidad Autónoma del Estado de México (UAEM). Professor and researcher at the Faculty of Accounting and Administration of UAEM in financial matters. Member of the "Finance and Technology" Academic Corps. Author and co-author of research articles published in scientific journals and proccedings of national and international congresses. As an independent consultant he has developed and implemented various projects in organizations and companies in public and private sectors

Filiberto Enrique Valdés Medina, Universidad Autónoma del Estado de México Facultad de Contaduría y Administración Cerro de Coatepec

Dr. Filiberto Valdés Medina is a graduate with honorable mention of the doctoral program from the Faculty of Accounting and Administration of the Universidad Nacional Autónoma de México, currently serving as Full-Time Professor at the Faculty of Accounting and Administration of the Universidad Autónoma del Estado de México, where he is also in charge of the Capyme Business Incubator. Its line of research is aimed at the impact of new technologies on finance, as well as the financial impact of corporate social responsibility.

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Published

2021-06-04

How to Cite

Garcí Mejía, J. F., Martínez Garduño, Y., Lizola-Margulis, P., & Valdés Medina, F. E. (2021). Diversification of investment amounts in a currency portfolio through GRG and Evolutionary Algorithms. Programación Matemática Y Software, 13(2), 1–12. https://doi.org/10.30973/progmat/2021.13.2/1

Issue

Vol. 13 No. 2 (2021): June, 2021

Section

Articles

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