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 portfolio as well as the expected return.