Resumen

GUTIERREZ-URZUA, Mauricio I.; GALVEZ-GALVEZ, Patricio; ELTIT, Benjamin  y  REINOSO, Hernaldo. Solving the problem of investment portfolios using heuristics from artificial bee colony. estud.gerenc. [online]. 2017, vol.33, n.145, pp.391-399. ISSN 0123-5923.  https://doi.org/10.1016/j.estger.2017.11.001.

The present article solves the classic problem of optimization of investment portfolios, using the model of average-variance and proposing a way to calculate the volatility through the generalized autoregressive conditional heteroskedasticity (GARCH) models. The problem is solved through a bio-inspired metaheuristic, called artificial bee colony (ABC), whose objective is to reduce the computational execution times present in other solutions. The results were counteracted by a previous work, solved with Lagrange multipliers, 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.

Palabras clave : Optimization; Investment; GARCH model; Artificial bee colony.

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