2011 |
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1. | Zavala-Díaz, José C.; Ruiz-Vanoye, Jorge A.; Díaz-Parra, Ocotlán Analysis of risk in linear multi-objective model and its evaluation for selection of a portfolio of investment in the Mexican stock Exchange Journal Article In: African Journal of Business Management, vol. 5, no. 19, pp. 7876-7884, 2011, ISSN: 1993-8233. Abstract | Links | BibTeX | Tags: multi-objective model, Papers in the Science Citation Index Expanded @article{JCR8, Each model designed to select an investment portfolio is based on different assumptions for estimating the risk and the return. These assumptions determine feasible solutions area and the front of efficient portfolios. Therefore, the assumptions of Markowitz model, capital assets pricing model and the linear multi-objective model are discussed. A portfolio of investments in different scenarios was determined by the last two models, and it is showed that the portfolio of investment determined by linear multi-objective model has higher return at lower risk. These tests also evaluated the assumptions of the models. It concludes that it is possible to gain a competitive advantage if another point of view will be considered in the selection of the investment portfolio. Analysis of risk in linear multi-objective model and its evaluation for selection of a portfolio of investment in the Mexican Stock Exchange (PDF Download Available). Available from: https://www.researchgate.net/publication/267371415_Analysis_of_risk_in_linear_multi-objective_model_and_its_evaluation_for_selection_of_a_portfolio_of_investment_in_the_Mexican_Stock_Exchange [accessed Feb 02 2018]. |
Publications
2011 |
|
1. | Analysis of risk in linear multi-objective model and its evaluation for selection of a portfolio of investment in the Mexican stock Exchange Journal Article In: African Journal of Business Management, vol. 5, no. 19, pp. 7876-7884, 2011, ISSN: 1993-8233. |