On numerical solution for optimal allocation of investment funds in portfolio selection problem

Abubakar Yahaya

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.

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Year of publication:	2012
Authors:	Yahaya, Abubakar
Published in:	CBN journal of applied statistics. - Abuja : Central Bank of Nigeria, ISSN 2476-8472, ZDB-ID 2854997-1. - Vol. 3.2012, 2, p. 1-15
Subject:	Modern Portfolio Theory \| Efficient frontier \| Pareto optimality \| Covariance \| Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Investmentfonds \| Investment Fund \| Pareto-Optimum \| Pareto efficiency \| Mathematische Optimierung \| Mathematical programming

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	hdl:10419/142062 [Handle]
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; E22 - Capital; Investment (including Inventories); Capacity ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

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