Portfolio Optimization Using Minimum Variance Line Approach: A Case Study of the Social Security and National Insurance Trust

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Ghana Social Science Journal


The main motive of investors around the globe is to invest in assets with the idea of maximizing the return with a minimum risk of investment. The management of investment portfolio requires carefully selecting various assets to invest in, as well as managing the proportions of funds to be channeled into a particular investment. The data used in this study was obtained from Social Security and National Investment Trust (SSNIT) covering a five-year period spanning from 2010 to 2014. The data comprised of the prices of Investment Properties (IVP), Investment to Maturity (IVM) and Loans Receivable (LR), out of which the expected return of each asset, the standard deviation (SD) of each asset, the correlation between assets and the covariance between assets are computed. The methodology used here was the minimum variance line approach proposed by Harry Markowitz. The model allowed us to assign weights to various investment classes by transposing the expected returns and risk associated with them. The result showed that, as the expected return of the portfolio increases the various percentage weight to be invested in IVP and LR increase whilst that of IVM decreases. The portfolio standard deviation or risk on the other hand also increases with increasing portfolio expected returns


Ghana Social Science Journal, 14(2), 144-166


Portfolio Optimization, Minimum Variance, Investment, Properties, Investment to Maturity