Integrating elements in an i-DSS for portfolio management in the Mexican market

Abstract

We present the main elements to design an intelligent decision support system (i-DSS) for portfolio management in the Mexican market, including the financial investment considerations for a knowledge database and the requirements for a portfolio optimization model. We take into account the tax impact and the Mexican market conditions and volatility into the models; and modify the classic Markowitz model, augmenting constraints to propose stochastic linear and stochastic quadratic models. The extended Markowitz model is solved with an efficient adapted Evolutionary Simulated Annealing algorithm. The efficient frontier is calculated using the augmented model. We present a proposal for the integration of an i-DSS (intelligent Decision Support Systems) with the knowledge and preference system, the optimization model and the Mexican market characteristics.