Portfolio selection represents a challenge where investors look for the best firms of the market to be selected. This research presents a real world application at the Mexican Stock Exchange (La Bolsa) using a set of heuristic algorithms for portfolio selection. The heuristic algorithms (random, genetic, greedy, hill-climbing and simulated annealing) were implemented based on the Markowitz Model where the investor can select the size of the protfolio as well as the expected return.
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