The following lecture talks about the Markowitz Portfolio Optimization problem in convex optimization. Indeed, many variants of this problem exists, but the classical one looks like this
where 
is an 
sized vector containing the amount of assets to invest in. The vector 
is the mean of the relative price asset change and the matrix 
is the matrix of variance-covariance of assets. The parameter 
is minimum accepted returns.
Learn more about the above problem and its application to the stock market by watching the above lecture.
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