Logo_Icesi

Examinando por Autor "Eltit, Benjamin"

Seleccione resultados tecleando las primeras letras
Mostrando 1 - 1 de 1
  • No hay miniatura disponible
    Ítem
    Resolución del problema de carteras de inversión utilizando la heurística de colonia artificial de abejas
    (Universidad Icesi, 2017-10-01) Galvez Galvez, Patricio; Gutiérrez Urzúa, Mauricio I.; Eltit, Benjamin; Reinoso, Hernaldo
    The present article solves the classic problem of optimization of investment portfolios, using the model ofaverage-variance and proposing a way to calculate the volatility through the generalized autoregressiveconditional heteroskedasticity (GARCH) models. The problem is solved through a bio-inspired metaheu-ristic, called artificial bee colony (ABC), whose objective is to reduce the computational execution timespresent in other solutions. The results were counteracted by a previous work, solved with Lagrange mul-tipliers, finding a similar investment boundary, but with a notably lower reduction in execution time.Finally, reference is made to future work within the area of computer finance.