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