Abstract
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. Key words: Multi-objective linear programming, investment portfolio, Mexican Stock Exchange.
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