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Gay, D.M. (1998) Computing Optimal Locally Constrained Steps. SIAM Journal on Scientific and Statistical Computing, 2, 186-197.

has been cited by the following article:

  • TITLE: Optimization of Pension Asset Portfolio in Nigeria with Contributors’ Specified Return Rate

    AUTHORS: Bright O. Osu, Godswill A. Egbe

    KEYWORDS: Optimization Portfolio, Contributory Pension Scheme, Return Rate, Pension Reform

    JOURNAL NAME: Open Journal of Optimization, Vol.5 No.4, December 26, 2016

    ABSTRACT: This work focuses on the optimization of investment contributions of pension asset with a view to improving contributors’ participation in achieving better return on investment (RoI) of their funds. We viewed some new regulations on Nigeria’s Contributory Pension Scheme” (CPS) from amended legislation of 2014, some of which are yet to be implemented when their regulations are approved. A mathematical model involving 5 variables, 5 inequality constraints covering regulatory limitations and limitation on scarce resource known as Asset Under Management (AUM), suggested and mathematically shown to be possible through “maximization of return irrespective of risk” while obeying all regulatory controls as our constraints optimized. Optimized portfolio using MatLab shows that the portfolio representing AES 2013 portfolio with a deficit growth of 15.75 m representing 3.27% less than the portfolio’s full growth potential within defined assumptions would have been averted if contributors actually set their targets and investment managers optimize from forecasts of future prices using trend analysis.