Modern Portfolio Theory, Efficient frontier, Pareto optimality, Covariance.
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.
CBN Journal of Applied Statistics
"On Numerical Solution for Optimal Allocation of Investment funds in Portfolio Selection Problem,"
CBN Journal of Applied Statistics (JAS): Vol. 3
, Article 1.
Available at: https://dc.cbn.gov.ng/jas/vol3/iss2/1