Pattern search for portfolio selection

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 compu- tational results, we show that PS is a powerful and efficient optimization tool when an investor wants to select an optimal portfolio and allocate weights to the portfolio.