On methods of optimal portfolio construction

The transition from a centrally planned economy to a market economy in Poland has caused dynamic changes in the number and structure of potential investors of the stock exchange market. This phenomenon, unknown in the past, needs a new approach to statistical methods of stock market analysis. The paper presents two methods of optimal portfolio construction. The first one leads to the square programming problem. Applying the Lagrange multipliers, we obtain a system of algebraic equations which can be solved by the special algorithm proposed in the paper. The second method reduces the mentioned above square program to the linear programming problem which can be solved using the simplex method.