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MULTIVARIATE DYNAMIC OPTIMAL PORTFOLIO SELECTION IN NIGERIAN BANKING SECTOR: APPLICATION OF A VAR FRAMEWORK

Journal of Applied Research in Finance and Economics

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Title MULTIVARIATE DYNAMIC OPTIMAL PORTFOLIO SELECTION IN NIGERIAN BANKING SECTOR: APPLICATION OF A VAR FRAMEWORK
 
Creator Akinkunmi, Mustapha A.
 
Description The study empirically analyzes the double-sided portfolio optimization problem in the Nigeria’s banking sector using time series techniques. The Generalized Reduced Gradient (GRG) algorithm was applied to choose the optimal portfolio selection among the thirteen listed banks on Nigerian Stock Exchange. The study found that only the United Bank for Africa and Wema Bank stocks have a significant relative weight if an investor aims to maximize its expected portfolio return. However, the investor can minimize its level of risk given a certain level of expected returns by devoting its resources mainly into Fidelity Bank, Wema Bank, and Skye Bank stocks.
 
Publisher Journal of Applied Research in Finance and Economics
 
Date 2017-09-30
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://www.jarfe.org/index.php/jarfe/article/view/26
 
Source Journal of Applied Research in Finance and Economics; Vol 3 No 3 (2017): Vol 3 No 3; 1-15
2458-8083
 
Language eng
 
Relation http://www.jarfe.org/index.php/jarfe/article/view/26/26
 
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