Análisis de portafolio por sectores mediante el uso de algoritmos genéticos: caso aplicado a la Bolsa Mexicana de Valores

Arnone, 1993, A genetic approach to portfolio Selection, Neural Network World, 6, 597 Artikis, 2011, The Industry Effect On The Relationship Between Leverage and Returns, Eurasian Business Review, 1, 125, 10.14208/BF03353802 Asoh, 1994, On the mean convergence time of evolutionary algorithms without selection and mutation, 88 Baird, 2012, Corporate Social and Financial Performance Re-Examined: Industry Effects in a Linear Mixed Model Analysis, Journal of Business Ethics, 109, 367, 10.1007/s10551-011-1135-z Baležentis, 2012, An Integrated Assessment Of Lithuanian Economic Sectors Based On Financial Ratios And Fuzzy Mcdm Methods, Technological and Economic Development of Economy, 18, 34, 10.3846/20294913.2012.656151 2008 2009 2013 2007 2013 Chamberlain, 1983, A characterization of the distributions that imply meanvariance utility functions, Journal of Economic Theory, 29, 185, 10.1016/0022-0531(83)90129-1 Chang, 2009, Portfolio optimization problems in different risk measures using genetic algorithm, Expert Systems with Applications, 36, 10529, 10.1016/j.eswa.2009.02.062 2009, Sectoral Growth Drivers and Competitiveness in the European Union Cowles, 1933, Can stock market forecasters forecast?, Econométrica, 1, 206, 10.2307/1907042 Deb, 1997, Limitations of evolutionary computation methods El Milhoub, 2006, Hybrid Genetic Algorithms: A Review, Enginnering Letter, 13, 124 Fabozzi, 2002, The legacy of modern portfolio theory, Journal of Investing, 11, 7, 10.3905/joi.2002.319510 Glover, 1997 Glover, 2000, Fundamentals of scatter search and path relinking, Control and Cybernetics, 29, 653 Gruian, 2011, 20, 193 Holland, 1975 Jensen, 1968, The performance of mutual funds in the period 1945-1964, Journal of Finance, 23, 389, 10.1111/j.1540-6261.1968.tb00815.x Jensen, 1969, Risk, the pricing of capital assets, and the evaluation of investment portfolios, Journal of Business, 42, 167, 10.1086/295182 Krishnasamy, 2011, Genetic Algorithm for Solving Optimal Power Flow Problem with UPFC, International Journal of Software Engineering and its Applications, 5, 39 Kyong, 2005, Using genetic algorithm to support portfolio optimization for index fund management, Expert Systems with Applications, 28, 371, 10.1016/j.eswa.2004.10.014 Lin, 2008, Genetic algorithms for portfolio selection problems with minimum transaction lots, European Journal of Operational Research, 185, 393, 10.1016/j.ejor.2006.12.024 Mahmud, 2011, Sector-Wise Stock Return Analysis: An Evidence from Dhaka Stock Exchange in Bangladesh, International Journal of Business and Management, 6, 276 Mangram, 2013, A Simplified Perspective Of The Markowitz Portfolio Theory, Global Journal of Business Research, 7, 59 Markowitz, 1952, Portfolio selection, The Journal of Finance, 7, 77 Martí, 2002, Búsqueda dispersa Mascareñas, 2006, China - Latinoamérica: ¿Competencia o Cooperación?, 295 1972, An analytical derivation of the efficient portfolio frontier, The Journal of Financial and Quantitative Analysis, 7, 1851, 10.2307/2329621 Michalewicz, 1996 Ocampo, 2011, 61 Owen, 1983, On the class of elliptical distributions and their applications to the theory of portfolio choice, Journal of Finance, 38, 745, 10.1111/j.1540-6261.1983.tb02499.x Pereira, 2000 Roudier, 2007, Portfolio Optimization and Genetic Algorithms Saavedra, 2012, El valor económico agregado y su relación con el valor agregado de mercado, la utilidad por acción y el rendimiento de los activos, en México: 2001-2008, Revue Sciences de Gestión, 90, 19 Sefiane, 2012, Portfolio Selection Using Genetic Algorithm, Journal of Applied Finance & Banking, 2, 143 Scholz, 2007, Refinements to the Sharpe ratio: comparing alternatives for bear Markets, Journal of Asset Management, 7, 347, 10.1057/palgrave.jam.2250040 Sharpe, 1966, Mutual fund performance, Journal of Business, 39, 119, 10.1086/294846 2002, A Taxonomy of hybrid metaheuristics, Journal of Heuristics, 8, 541, 10.1023/A:1016540724870 Tarek, 2006, Hybrid Genetic Algorithms, A Review. Engineering Letters, 13, 124 Vallée, 2001, Présentation des algorithmes génétiques et leurs applications en économie, Revue d’économie politique, 4, 1 Venugopal, 2004, Usefulness of Genetic Algorithm Model For Dynamic Portfolio Selection, Journal of Financial Management and Analysis, 17, 45 Yu, 2009, Multi-Attribute Portfolio Selection with Genetic Optimization Algorithms, INFOR, 47, 23 Yu, 2012, Genetic Algorithm-Based Multi-Criteria Project Portfolio Selection, Annals of Operation Research, 197, 71, 10.1007/s10479-010-0819-6