TY - JOUR TI - Optimización de portafolios de inversión con costos de transacción utilizando un algoritmo genético multiobjetivo: caso aplicado a la Bolsa de Valores de Colombia PB - Universidad Icesi PY - 2018 issn 0123-5923 AB - This paper discusses portfolio optimization by considering constraints imposed by financial markets and conditions of projects with excess liquidity, such as transaction costs, limited budget and short time planning horizons. In light of these constraints, conventional models are found to generate non-efficient portfolios. Consequently, a mathematical model is formulated and a multiobjective genetic algorithm is implemented in order to find efficient portfolios in the Colombian Stock Exchange (Bolsa de Valores de Colombia), minimizing risks and maximizing profits. In addition, results are shown which allow comparison between those portfolios obtained through the proposed model and the mean-variance model, highlighting the importance of transaction costs and budget in investment decision making. KW - Portafolio de inversiones KW - Bolsa de Valores - Colombia KW - Costos de transacción KW - Algoritmos genéticos UR - https://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/2812 ER -