Mathematical Theory and Modeling
Portfolio Optimization of Pension Fund Contribution in Nigeria
Abstract
In this research work, we investigate the optimality of pension portfolio of 2004 pension reform guidelines in Nigeria using the Net Asset Values (NSA) from the First Alliance and Benefits Ltd as our scarce resources.
The resources are distributed as different portfolios of asset classes for comparative analysis. Linear programming technique is used to carry out the analysis of the data using TORA Operations Research software to select the optimal mix of opportunities that would maximize the return while meeting the investment conditions set by each portfolio class and other constraints by Pen Com.
We conclude that the Pen Com guided portfolio is not optimum as revealed by the hypothesis test.
Keywords: Portfolio Optimization, Contributory Pension Scheme, Defined Benefit Scheme Linear Programming.
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ISSN (Paper)2224-5804 ISSN (Online)2225-0522
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