An alternative mean-variance portfolio theoretical framework:Nigeria banks’ market shares analysis

Abstract

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 efficient 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