Heuristic crossover for portfolio selection

We propose the suitability of Heuristic Crosover in Genetic Algorithm (GA) for the selection of an optimal portfolio of stocks from the Ghana Stock Exchange. The appropriate choice of an optimal portfolio is the principal problem of both the portfolio manager and the investor. In this paper, we formulate a model which includes practical constraints (floor-ceil and cardinality constraints) which the Markowitz unconstrained Mean-Variance method does not consider in the selection of optimal portfolio. We use heuristic crossover to optimize the risk-return trade-off and achieve an optimal solution for the portfolio selection and the allocation of weights to each portfolio.

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