Selección de cartera óptima como aplicación de las condiciones Karush-Kuhn-Tuker

Abstract

[en] The Karush-Kuhn-Tucker conditions (in short, the KKT conditions), an extension of the well-known Lagrange multipliers method, have been developed to solve optimization problems in a more general sense, that is, including both inequalities and constraints. On the other hand, the selection of an optimal portfolio conforming the requirements of each investor, requesting a maximum return, a minimum risk or a balance between these two aspects, can be solved with the application of the KKT conditions.