A Linear Programming Formulation of the General Portfolio Selection Problem†

Bernell K. Stone

Journal of Financial and Quantitative Analysis, 1973, vol. 8, issue 4, 621-636

Abstract: Almost two decades ago, Markowitz [12] formulated the portfolio selection problem as a parametric quadratic programming problem. The crux of his formulation was the mean-variance assumption which asserted that a portfolio is efficient if (and only if): (1) it has less variance than any other feasible portfolio with the same return and (2) it has more return than any other feasible portfolio with the same variance.

Date: 1973
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