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Efficient Method for Assets Allocation

Author

Listed:
  • Dare Jayeola

    (Department of Mathematical Sciences, Adekunle Ajasin University, PMB 001, Akungba Akoko, Ondo State, Nigeria)

  • Peter O. Olatunji

    (Department of Mathematical Sciences, Adekunle Ajasin University, PMB 001, Akungba Akoko, Ondo State, Nigeria)

  • Y. J. Aborisade

    (Department of Mathematical Sciences, Adekunle Ajasin University, PMB 001, Akungba Akoko, Ondo State, Nigeria)

Abstract

Asset allocation requires allotting savings among many assets. The goal of investors is to minimize risk at a given returns or/and maximize returns at a specified risk. The aim of this paper is to compare two asset allocations, Black Litterman model (BLM) and Mean Variance Model (MVM). The data used are groundnut oil, palm oil and palm kernel oil. The data is used to estimate values of risk and returns using both asset allocations to estimate risk and return of the three assets. It is observed that BLM minimizes risk and maximizes the return of its portfolio better than MVM.

Suggested Citation

  • Dare Jayeola & Peter O. Olatunji & Y. J. Aborisade, 2025. "Efficient Method for Assets Allocation," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 9(5), pages 4308-4313, May.
    • Handle: RePEc:bcp:journl:v:9:y:2025:issue-5:p:4308-4313
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    References listed on IDEAS

    as
    1. Helmut Lütkepohl & Fang Xu, 2012. "The role of the log transformation in forecasting economic variables," Empirical Economics, Springer, vol. 42(3), pages 619-638, June.
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    3. Tamara Teplova & Mikova Evgeniia & Qaiser Munir & Nataliya Pivnitskaya, 2023. "Black-Litterman model with copula-based views in mean-CVaR portfolio optimization framework with weight constraints," Economic Change and Restructuring, Springer, vol. 56(1), pages 515-535, February.
    4. Stephen G. Dimmock & Neng Wang & Jinqiang Yang, 2024. "The Endowment Model and Modern Portfolio Theory," Management Science, INFORMS, vol. 70(3), pages 1554-1579, March.
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