Quadratic Programming as an Optimization Tool for Portfolio Management

Abstract

In this paper, we carried out an investigation of Nigerian stocks. The principal task concerns essentially optimizing the portfolio of investors in Nigeria Stocks. Observations revealed that, though it is possible to get profits from investments in some securities, attached to them are some measure of risks. The paper has been able to solve the problem of balancing the profits and risks attached to the management of portfolios. The optimization tools used in this work include the mean-variance principle, which was used to model the problem, and the extended simplex method, which was employed in solving the problem.