CBN Journal of Applied Statistics (JAS)


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.

Author Bio

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

Publication Title

CBN Journal of Applied Statistics







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