Pattern search for portfolio selection
| Autor: | Asante Gyamerah, Kwame Nkrumah, Perpetual Saah Andam, Joseph Ackora-Prah |
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| Rok vydání: | 2014 |
| Předmět: | |
| Zdroj: | Applied Mathematical Sciences. 8:7137-7147 |
| ISSN: | 1314-7552 |
| DOI: | 10.12988/ams.2014.46425 |
| Popis: | In this paper, we present a real life application of Pattern Search (PS) as a heuristic algorithm for the selection of an optimal portfolio of the Ghana Stock Exchange (GSE) market. Practical constraint (boundary and cardinality) model was formulated and a Mesh Adaptive Direct Searh method was applied to solve the model. From the computational results, we show that PS is a powerful and ecient optimization tool when an investor wants to select an optimal portfolio and allocate weights to the portfolio. |
| Databáze: | OpenAIRE |
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