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A fast al/lorithm for solving large scale MV (mean-variance) portfolio optimization problems is proposed. It is shown that by using T independent dat.a representing the rate of return of the assets, the MV model consisting of n assets can be put into a quadratic program with n + T variables, T linear const.raints and T quadratic terms in the objective function. As a result, the computation t.ime required to solve this problem would increase very mildly as a function of n. This implies that adoi:10.15807/jorsj.35.93 fatcat:lyfjmp4xjvctvmakl6btrm4fk4