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Please use this identifier to cite or link to this item: http://hdl.handle.net/123456789/11429

Title: Pattern Search for Portfolio Selection
Authors: Ackora-Prah, Joseph
Gyamerah, Samuel Asante
Andam, Perpetual Saah
Gyamfi, Daniel
Keywords: Portfolio Selection
Pattern Search
Mesh Adaptive Direct Search
Issue Date: 2014
Publisher: Applied Mathematical Sciences
Citation: Applied Mathematical Sciences, vol. 8, 2014, no. 143, 7137 - 7147; http://dx.doi.org/10.12988/ams.2014.46425
Abstract: In this paper, we present a real life application of Pattern Search (PS) as a heuristic algorithm for the selection of an optimal portfo- lio 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 compu- tational results, we show that PS is a powerful and e cient optimization tool when an investor wants to select an optimal portfolio and allocate weights to the portfolio.
Description: An article published in Applied Mathematical Sciences, vol. 8, 2014, no. 143, 7137 - 7147; http://dx.doi.org/10.12988/ams.2014.46425
URI: http://hdl.handle.net/123456789/11429
Appears in Collections:College of Science

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