Optimal Designs Approach to Portfolio Selection

Authors

Etukudo A. I., University of Calabar, CalabarFollow

Keywords

Portfolio selection, minimum variance, optimal designs, optimal allocation.

Abstract

In order to obtain the best tradeoff between risk and return, optimization algorithms are particularly useful in asset allocation in a portfolio mix. Such algorithms and proper solution techniques are very essential to investors in order to circumvent distress in business outfits. In this paper, we show that by minimizing the total variance of the portfolio involving stocks in two Nigerian banks which is a measure of risk, optimal allocation of investible funds to the portfolio mix is obtained. A completely new solution technique – modified super convergent line series algorithm which makes use of the principles of optimal designs of experiment is used to obtain the desired optimizer.

Author Bio

The author is a staff of the Department of Mathematics/Statistics & Computer Science, University of Calabar, Calabar, Nigeria,

Publication Title

Journal of Applied Statistics

Issue

1

Volume

1

Recommended Citation

I., Etukudo A. (2010) "Optimal Designs Approach to Portfolio Selection," CBN Journal of Applied Statistics (JAS): Vol. 1: No. 1, Article 4.
Available at: https://dc.cbn.gov.ng/jas/vol1/iss1/4