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FinanceMarkowitz Portfolio
By Sitraka Forler · Lecturer, Durham Business SchoolUpdated 13 September 2026 About this site
Optimal portfolio weighting that maximises return per unit of risk.
Harry Markowitz's 1952 mean-variance framework finds the portfolio weights that sit on the "efficient frontier" - the set of portfolios with the highest expected return for each level of volatility.
Example
Solved via: scipy.optimize.minimize(neg_sharpe, weights)