Open Journal of Optimization, 2016, 5, 103-119 http://www.scirp.org/journal/ojop ISSN Online: 2325-7091 ISSN Print: 2325-7105 DOI: 10.4236/ojop.2016.54012 December 26, 2016 Optimization of Pension Asset Portfolio in Nigeria with Contributors’ Specified Return Rate Bright O. Osu 1 , Godswill A. Egbe 2 1 Department of Mathematics, Michael Okpara University of Agriculture, Umudike, Nigeria 2 Department of Mathematics, Abia State University, Uturu, Nigeria 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 Con- tributory 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), sug- gested and mathematically shown to be possible through “maximization of return ir- respective 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 portfo- lio’s full growth potential within defined assumptions would have been averted if contributors actually set their targets and investment managers optimize from fore- casts of future prices using trend analysis. Keywords Optimization Portfolio, Contributory Pension Scheme, Return Rate, Pension Reform 1. Introduction The Nigerian contributory pension industry is in its 11th year with Asset Under Man- agement in excess of N5T. In 2004, the initial Pension Reform Act (PRA 2004) came into force in June 2004. The focus is to achieve well-throughout goals which include; 1) Pension to be contributory and fully funded. 2) Personalized and portable individual Retirement Savings Account (RSA). 3) The management of pension funds privately and the separation of the functions How to cite this paper: Osu, B.O. and Egbe, G.A. (2016) Optimization of Pension Asset Portfolio in Nigeria with Contribu- tors’ Specified Return Rate. Open Journal of Optimization, 5, 103-119. http://dx.doi.org/10.4236/ojop.2016.54012 Received: September 9, 2016 Accepted: December 23, 2016 Published: December 26, 2016 Copyright © 2016 by authors and Scientific Research Publishing Inc. This work is licensed under the Creative Commons Attribution International License (CC BY 4.0). http://creativecommons.org/licenses/by/4.0/ Open Access