This study uses Sharpe Single Index Model (SSIM) to construct an optimal portfolio. The sample forthis study was based on the large listed Nigerian companies listed on NGSE. Monthly closing stockprice of the companies was obtained from www.investing.com over the period of October 2019 toNovember...

The standard metric for assessing risk in the financial realm has been the Value-at-Risk (VaR) with several parametric and non-parametric approaches and its derivatives which is Conditional Value-at-Risk (CVaR). The inability of VaR to tell loss severity beyond the confidence threshold and its...