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Home  >  Transactions of NAMP VOL 6

30. Efficient portfolio selection of some assets in the Nigeria market by E. A. Adelekea, I. Adinya, M.E. Adeosun and S. O. Edekid Transactions Vol. 6 (Jan., 2018), pp. 273{ 279
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Ecient portfolio selection of some assets in the Nigeria market

E. A. Adelekea, I. Adinyab, M.E. Adeosunc and S. O. Edekid

Department of Mathematics, University of Ibadan, Ibadan, Nigeria; cDepartment of Mathematics

and Statistics, Osun State College of Technology, Esa-Oke, Nigeria; dDepartment of Mathematics,

Covenant University, Canaanland, Ota, Nigeria


In any nancial 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


Keywords: optimal portfolio, Lagrange multiplier, option pricing, expected return.