PORTFOLIO OPTIMISATION FOR A FIRM IN GHANA USING LINEAR PROGRAMMING

Abstract

Linear optimisation techniques have been used to find an optimal investment portfolio for a Firm in Ghana. The objective was to find the level of investments in selected portfolios that yielded maximum return for the Firm based on the data supplied. Sensitive analyses were carried out to test the robustness or otherwise of the resulting model to slight changes in the input parameter values. It was also aimed at determining how redundant a constraint was to the solution of the Linear Programming (LP) problem. Simplex Algorithm (implemented on the Quantitative Manager software) was used to solve the resulting LP problems. The portfolio of the Firm consists of a portfolio of investment risks and a portfolio of financial risks. The model is a single objective model that maximises return on the portfolio