Optimization of investment options using SQL

Authors:
Jose Torres-Jimenez;Himer Avila-George;Nelson Rangel-Valdez;Jorge Martinez-Pena
Affiliations:
CINVESTAV-Tamaulipas, Information Technology Laboratory, Victoria, Tamps., Mexico;Universidad Politécnica de Valencia, Instituto de Instrumentación para Imagen Molecular, Valencia, Spain;CINVESTAV-Tamaulipas, Information Technology Laboratory, Victoria, Tamps., Mexico;CINVESTAV-Tamaulipas, Information Technology Laboratory, Victoria, Tamps., Mexico
Venue:
IBERAMIA'10 Proceedings of the 12th Ibero-American conference on Advances in artificial intelligence
Year:
2010

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Abstract

This paper presents a novel use of SQL language to solve a practical optimization problem to find the portfolio size and the quantity of money for securities. This problem is known as the Portfolio Selection Problem (PSP). The approach was tested on 9 random instances of PSP. Each instance has up to 12 securities and 50 different choices of money. Each security follows a non-linear profit model. The limitations of our approach are bounded by the computer resources, given that potentially SQL constructs the Cartesian product of the investment options, but it has the advantages of not requiring complex structures and it is easy to understand.