Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/142035
Authors: 
Etukudo, I. A.
Year of Publication: 
2010
Citation: 
[Journal:] CBN Journal of Applied Statistics [ISSN:] 2476-8472 [Publisher:] The Central Bank of Nigeria [Place:] Abuja [Volume:] 1 [Year:] 2010 [Issue:] 1 [Pages:] 53-64
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.
Subjects: 
Portfolio selection
minimum variance
optimal designs
optimal allocation
Document Type: 
Article

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