IJPAM: Volume 119, No. 4 (2018)
TitleEFFICIENT PORTFOLIO SELECTION OF
SOME ASSETS IN THE NIGERIA MARKET
AuthorsE.A. Adeleke, I. Adinya, M.E. Adeosun, S.O. Edeki
Department of Mathematics
University of Ibadan
Department of Mathematics and Statistics
Osun State College of Technology
Department of Mathematics
Canaanland, Ota, NIGERIA
AbstractIn any financial institution, an optimal portfolio of assets is correctly designed by some methods which include reliable mathematical programs called optimizers. Investors are often faced with the problem of selecting varying choices, as well as optimizing expected returns in the face of a high level of risk. This work therefore employs a quantitative approach to constructing portfolios by using a method of constrained optimization-the Lagrange multiplier method(LMM). The portfolio consisting of three assets namely: Stocks-Nigerian Stock Exchange Indices for a period of 10 years, Cash-Federal Government of Nigeria (FGN) 90 days Treasury Bills and Bonds-Federal Government of Nigeria (FGN) 12 year Bond was constructed. With the aid of a computational soft-package, the LMM was used to obtain an optimal solution for the minimization problem.
The result obtained shows a higher expected return for both Cash and Bonds than Stocks in the period under study, which depicts the prevailing economy situation in Nigeria.
Received: November 8, 2017
Revised: March 24, 2018
Published: July 29, 2018
AMS Classification, Key Words
AMS Subject Classification: 91G10, 91B30, 97M30
Key Words and Phrases: optimal portfolio, Lagrange multiplier, assets, expected return, risk
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How to Cite?DOI: 10.12732/ijpam.v119i4.7 How to cite this paper?
Source: International Journal of Pure and Applied Mathematics
ISSN printed version: 1311-8080
ISSN on-line version: 1314-3395
Pages: 651 - 660
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