Open AccessAn alternative mean-variance portfolio theoretical framework:Nigeria banks’ market shares analysis
Author(s) -
Rasaki Olawale Olanrewaju,
Adejare Sodiq Olanrewaju
Publication year - 2021
Publication title -
global journal of business, economics and management
Language(s) - English
Resource type - Journals
ISSN - 2301-2579
DOI - 10.18844/gjbem.v11i3.5358
Subject(s) - portfolio , asset (computer security) , econometrics , mixing (physics) , portfolio optimization , black–litterman model , modern portfolio theory , economics , asset allocation , market portfolio , statistics , mathematics , financial economics , actuarial science , replicating portfolio , computer science , physics , computer security , quantum mechanics
The ground-laying objective of portfolio conception is nothing but to allot optimally, the investment among financial assets, and a wide range of products held by investors for immediate or long-time decision. The article aims to provide both the theoretical and experimental analysis of estimating portfolio asset indexes. The technique for estimating mixing weights of each asset for proper optimization of the portfolio was described and the Ordinary Least Squares (OLS) technique was employed in the estimation of their returns and volatilities. Twelve (12) new generation (commercial and merchant) banks’ yearly market shares’ portfolios from 2001 to 2017 were analyzed. The mixing weights describing the contributing efcient frontiers carved-out U.B.A and Zenith banks to be the frontiers in the commercial banks’ shares portfolio with 0.272 and 0.202 mixing weights respectively. Additionally, the 99% confidence level of the Expected-Shortfall (ES), was higher in WEMA, UNION, ACCESS, Diamond, and FCMB banks with 20.6004%, 14.7637%, 14.6458%, 15.3011%, and 16.9373% respectively.Keywords: Asset; Expected-Shortfall; Mixing Weight; Ordinary Least Squares; Portfolio