A DSS for stochastic multistage portfolio optimization in the Mexican market

Abstract

We present the main elements for a decision support system for portfolio management in the Mexican market, including the financial investments consideration for a database, the uncertainty representation in scenario trees and the requirements for a portfolio optimization model. We used a stochastic programming approach to formulate the multistage optimization model, modified with new constraints and solved it with a Simulated Annealing procedure. The scenario tree was generated by a simulation and clustering process. Some examples are presented to show the performance of the proposed procedure.