Modelo de gestión de carteras de Markowitz usando algoritmos genéticos

Abstract

In 1952, with his article, Harry Markowitz, he greatly simplified the problem to choice the correct investing in a stock market. In this work, the reader is introduced in the Markowitz’s proposal and it is proposed a genetic algorithm for computing a portfolio that reduce risk and maximize return between two assets. In the last part, the genetic algorithm is applied in two real case studies with monthly records obtained between 2009 and 2013.