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On Numerical Solution For Optimal Allocation Of Investment Funds In Portfolio Selection Problem, Yahaya Abubakar
On Numerical Solution For Optimal Allocation Of Investment Funds In Portfolio Selection Problem, Yahaya Abubakar
CBN Journal of Applied Statistics (JAS)
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.