On Numerical Solution for Optimal Allocation of Investment funds in Portfolio Selection Problem

Authors

Yahaya Abubakar, Ahmadu Bello University Zaria, NigeriaFollow

Keywords

Modern Portfolio Theory, Efficient frontier, Pareto optimality, Covariance.

Abstract

In this article, we present a procedure for obtaining an optimal solution to the Markowitz’s mean-variance portfolio selection problem based on the analytical solution developed in a previous research that lead to the emergence of an important model known as the Black Model. The procedure is well presented, illustrated and validated by a numerical example from real stocks dataset obtainable from a popular European stock market.

Author Bio

The author is a staff of the Department of Mathematics, Ahmadu Bello University, Zaria, Nigeria.

Publication Title

CBN Journal of Applied Statistics

Issue

2

Volume

3

Recommended Citation

Abubakar, Yahaya (2012) "On Numerical Solution for Optimal Allocation of Investment funds in Portfolio Selection Problem," CBN Journal of Applied Statistics (JAS): Vol. 3: No. 2, Article 1.
Available at: https://dc.cbn.gov.ng/jas/vol3/iss2/1