Portfolio optimization

Searching of an optimal portfolio -- a suitable diversification of funds among financial instruments is a problem that every investor faces. To find the ideal ratio of assets in an investment you must first choose a suitable theoretical model to represent a portfolio and help predict its future development. Model selection should depend on meeting of its assumptions in current situation. This paper uses Markowitz model and describes how to use the quadratic programming methods, Wolfe algorithm, to get a set of efficient portfolios, the subset of all portfolios from which every rational investor should choose. To generalize and enlarge the role of a set of portfolios, the mentioned procedure is apllied for solving the case of short sale