Resolución del problema de carteras de inversión utilizando la heurística de colonia artificial de abejas

Abstract

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.