Application of Non-Linear Programming to Portfolio Management on Some Insurance Companies Using Cash Ratio

Abstract

This research is set to investigate non-linear programming problem that is, quadratic programming and its application to portfolio management. The data of return on asset of five different insurance companies namely: AIICO, LINKAGE, NIGER, MUTUAL BENEFIT, and LASACO insurance company was collected and a model was fixed. These data were analyzed using quadratic programming in conjunction with LINDO software. The result of the analyzed data revealed that the allocation of fund for each insurance company should be done with the same percent for LINKAGE, NIGER, MUTUAL BENEFIT and other percent to AIICO insurance company respectively with increment of 24% on return. The research has answered the question of how much an investor should allocate to each investment to minimize risk and maximize return.