| Article ID: | iaor1994633 |
| Country: | Philippines |
| Volume: | 2 |
| Start Page Number: | 13 |
| End Page Number: | 20 |
| Publication Date: | Nov 1993 |
| Journal: | Philippine Journal of Operations Research |
| Authors: | Reventar Vicente P. |
| Keywords: | investment, programming: quadratic, developing countries |
The Markowitz model is applied in a set of eight Philippine blue chip stocks. By formulating the portfolio problem as a quadratic program, it is shown that the higher the return required, the larger is the risk that an investor takes if he chooses the higher return allocation.