Selección de portfolio de cultivos de ciclo corto mediante programación cuadrática modelo media - varianza y función de utilidad exponencial

Authors

  • Fabián Andrés Ferreira Universidad Rey Juan Carlos.
  • Andrés Redchuk Facultad de Ciencias Empresariales. Universidad Autónoma de Chile.

Keywords:

quadratic programming, software R, mean, variance mode, risk management.

Abstract

In this work we build a portfolio selection model of short-cycle crops easy to use and robust in their results. This model is able to maximize revenues for different levels of risk aversion. One consequence is the optimal use of financial resources of the small farms, focusing on more profitable crops and quantifying the associated risk levels. A mean-variance model have been implemented in R.

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References

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BIRGE, J, R, ET AL (2010): “Introduction to Stochastic Programming”, John R..Birge, Francois Louveaux editors, 2nd_Edition.

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KONIS K., (2011): “R INTERFACE FOR LP_SOLVE”, version 5.5.2.0.

MARKOWITZ H. (1952): “PORTFOLIO SELECTION”. THE JOURNAL OF FINANCE, VOL. 7, NO. 1. PP. 77-91.

URLACH B.A., WEINGESSEL A. (2012): “FUNCTIONS TO SOLVE QUADRATIC PROGRAMMING PROBLEMS.PACKAGE ‘QUADPROG’”.

WETS, R.J.B. (1974): “STOCHASTIC PROGRAMS WITH FIXED RECOURSE: THE EQUIVALENT DETERMINISTIC PROGRAM”, SIAM REVIEW Vol. 16, No. 3, July 1974.

WETS, R.J.B. (1983): “SOLVING STOCHASTIC PROGRAMS WITH FIXED RECOURSE”, STOCHASTICS Vol. 1.

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Published

2018-06-11

Issue

Section

Artículos Científicos

How to Cite

Selección de portfolio de cultivos de ciclo corto mediante programación cuadrática modelo media - varianza y función de utilidad exponencial. (2018). Revista De La Escuela De Perfeccionamiento En Investigación Operativa, 22(35), 98-106. https://revistas.psi.unc.edu.ar/index.php/epio/article/view/20268