Mean-variance analysis makes possible the choice of an efficient set of
security combinations that optimize investment and maximize investor utility. Portfolio
returns and variances data of 56 probable portfolio combinations of share investments
in eight sampled firms show that only seven probable two -asset portfolio combinations
are advisable efficient combinations: two involving manufacturing firms, brewery and
petroleum marketing, food and beverages and building materials, as there exists
negative covariances between them; and five combinations involving investment in
bank shares with investment in either shares in a firm in the petroleum marketing,
brewery, food and beverages and building materials sectors. Further results show that
combination of two bank securities in a portfolio is not advisable as there exists positive
covariances between the four sampled banks. Portfolio combinations inclusive of a
bank give high returns necessitating investors’ inclusion of investment in bank shares in
their portfolio selections. To select efficient portfolio combinations maximizing
portfolio returns and minimizing portfolio risks, Nigerian investors should not combine
share investments in two banks as they bear the similar risks: industry and syst ematic
risks with expected high volatility in earnings, but combine investment in either two
manufacturing firms or a manufacturing firm with share investment in a bank in a twoasset portfolio.