We make the following assumption regarding the probability distributions of returns on risky assets: Returns are jointly normally distributed random variables, which is why investors can only focus on the mean and variance of returns (Fama and French 2004). This implies that all portfolios created from a combination of individual assets or other portfolios must have distributions that continue to be determined by their means and variances. A portfolio of assets whose returns are multivariate normally distributed also has a normally distributed return. The mean variance optimization model was derived from Markowitz's (1952) portfolio theory. Several hypotheses were used to derive this model. First, the average of historical returns is used to show the expected return, the variance of these returns is used to show the risk which includes systematic risk and unsystematic risk (Ross, Westerfield, and Jordan 2008). Second, “the process that generates returns in the past is also the process that generates returns in the future” (Frino, Hill, and Chen 2009). Third, all investors are rational and risk averse and expect higher returns along with higher risk (Fame and French 2004). Fourth, the mean-variance optimization model is assumed in a single period, so initially an investor creates a portfolio according to the chosen mean-variance criterion and keeps the proportion of assets in the portfolio unchanged from the last to the end of the period (Korn and Korn 2001). . Finally, all investors are price takers, so their investment decisions do not affect the price, plus there is no income tax or transaction fee. The CAPM model shares many assumptions with the mean variance optimization model as it is derived from the Markowitz mean-......middle of the paper......and approach. EU Socrates project. MaMaEuSch-Management Mathematics for European Schools, 2001. http://optimierung.mathematik.uni-kl.de/mamaeusch/Markowitz, HM Portfolio Selection. Journal of Finance.1952, 7(1): 77–91. Ross, S.A., Westerfield, R.W., & Jordan, B.D. Fundamentals of Corporate Finance. New York: McGraw-Hill/Irwin, 2008. Bodie, Z., Kane, A., Marcu, A. J. Investments 9th ed. New York: McGraw-Hill/Irwin, 2008.Fama, E.F., & French, KR The Capital Asset Pricing Model: Theory and Evidence. Journal of Economic Outlook. 2004, 18 (3): 25-46. Chamberlain, G., & Rothschild, M. (1984). Arbitrage, factor structure, and mean-variance analysis in large asset markets. Talor, B 2006, Developing Portfolio Optimization Models, Mathworks, accessed 21 May 2014, http://www.mathworks.com.au/company/newsletters/articles/development-portfolio-optimization-models. html