Author(s)

M. A. Osorio, A. Sánchez & M. A. Gómez

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. Keywords: intelligent decision support systems, portfolio optimization. 1 Introduction Intelligent Decision Support Systems (i-DSS), as successors of Management Information Systems (MIS), traditionally follow the decision logic line of thinking and include in MIS algorithmic tools to improve the choice activity of decision makers. This includes optimization methods, mathematical programming, multi criteria models etc. They are \“structure related”, normally assume that the decision problem can be formulated mathematically and do not stress information processing and display. \“Knowledge” is represented in many

Keywords

intelligent decision support systems, portfolio optimization.