DESIGN OF A INVESTMENT PORTFOLIO USING NON-LINEAR PROGRAMMING: CASE OF COLOMBIA 2013-2014, DISENO DE UN PORTAFOLIO DE INVERSION A PARTIR DE UN MODELO DE PROGRAMACION NO LINEAL: CASO COLOMBIA 2013-2014

John Dairo Ramirez Aristizabal and Eduardo Alexander Duque Grisales

Revista Internacional Administracion & Finanzas, 2016, vol. 9, issue 2, 31-47

Abstract: The relationship between risk and profitability of a financial asset is a constant concern of the investor in shaping their investment portfolio. The main goal in building the portfolio is to optimally allocate investments among different asset considering the concept of diversification. This paper focuses on the application of a nonlinear programming model for determining an investment portfolio in the Colombian market equities for the years 2013 and 2014, from the set of combinations of assets that maximize expected return for a given level of risk or that minimum risk for a given level of expected return. To do this, it implements and evaluates a model on a historical bases of financial asset prices in the Colombian equities market and compared them with the actual return on investment portfolios in Colombia.

Keywords: Portfolio Investment; Nonlinear Programming; Risk Aversion; Financial Assets (search for similar items in EconPapers)
JEL-codes: C02 C13 C14 C22 C53 C61 D81 D84 G00 G11 G23 (search for similar items in EconPapers)
Date: 2016
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