Heuristic crossover for portfolio selection
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Date
2014-11-13
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Abstract
The appropriate choice of an optimal portfolio is the principal problem of both
the portfolio manager and the investor. We propose the suitability of Heuristic
Crossover in Genetic Algorithm (GA) for the selection of an optimal portfolio of
stocks from the Ghana Stock Exchange. In this book, we formulate a model to
include practical constraints (
oor-ceiling and cardinality constraints) other than
Markowitz unconstrained Mean-Variance model for the selection of our optimal
portfolio. We use heuristic crossover as an appropriate solution to optimize the
risk-return trade-o and achieve an optimal solution for the portfolio selection
and the allocation of weights to each portfolio.
Description
A thesis submitted to the Department of Mathematics,
Kwame Nkrumah University of Science and Technology in
partial fufillment of the requirement for the degree
of Master of Philosophy (Applied Mathematics), 2014