Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/142062
Authors: 
Yahaya, Abubakar
Year of Publication: 
2012
Citation: 
[Journal:] CBN Journal of Applied Statistics [ISSN:] 2476-8472 [Publisher:] The Central Bank of Nigeria [Place:] Abuja [Volume:] 3 [Year:] 2012 [Issue:] 2 [Pages:] 1-15
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.
Subjects: 
Modern Portfolio Theory
Efficient frontier
Pareto optimality
Covariance
JEL: 
C61
E22
G11
Document Type: 
Article

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