CBN Journal of Applied Statistics (JAS)
Title
On Numerical Solution for Optimal Allocation of Investment funds in Portfolio Selection Problem
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.
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
Included in
Applied Mathematics Commons, Business Commons, Economics Commons