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Exploiting stock data: a survey of state of the art computational techniques aimed at producing beliefs regarding investment portfolios
El valor de las series de tiempo de acciones: un estado del arte de técnicas computacionales para la generación de expectativas en portafolios de inversión
DOI:
https://doi.org/10.15446/ing.investig.v28n1.14873Keywords:
portfolio, optimisation, stock, securities, return, risk, profile, belief, rules set (en)portafolio, optimización, acciones, títulos valor, retorno, riesgo, expectativas, conjunto de reglas (es)
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Selecting an investment portfolio has inspired several models aimed at optimising the set of securities which an investor may select according to a number of specific decision criteria such as risk, expected return and planning horizon. The classical approach has been developed for supporting the two stages of portfolio selection and is supported by disciplines such as econometrics, technical analysis and corporative finance. However, with the emerging field of computational finance, new and interesting techniques have arisen in line with the need for the automatic processing of vast volumes of information. This paper surveys such new techniques which belong to the body of knowledge concerning computing and systems engineering, focusing on techniques particularly aimed at producing beliefs regarding investment portfolios.
El proceso de selección de portafolio ha dado origen a diferentes modelos, orientados a optimizar el conjunto de títulos valor disponibles para un inversionista, con base en diferentes criterios de decisión tales como el riesgo, el retorno esperado, horizonte de planeación, entre otros. El enfoque clásico de estos modelos cubre las dos fases del proceso de selección de portafolio, y está definido por disciplinas tales como la econometría, el análisis técnico y las finanzas corporativas. Pero el nacimiento de la computación financiera define el uso de nuevas técnicas bajo la necesidad del procesamiento automático de grandes volúmenes de información. Este artículo es un estado del arte de esas nuevas técnicas, desde el punto de vista de la ingeniería de sistemas y sus modelos computacionales, aplicados particularmente a la generación de expectativas de inversión en portafolios.
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Copyright (c) 2008 Mario Linares Vásquez, Diego Fernando Hernández Losada, Fabio González Osorio
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