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The portfolio optimization model, initially proposed by Markowitz in 1952 and known as mean-variance model (MV model), is applied to find the optimized allocation among assets to get higher investment return and lower investment risk. However, the MV model did not consider some practical limitations of financial market, including: (1) transaction cost and (2) minimal transaction lots. While these constraints are not considered in the model, the practicability of the model will be restrained.doi:10.2991/jcis.2006.273 dblp:conf/jcis/Chianglin06 fatcat:2elilgiuujb77bdrc4esz7kvka