SUMMARYPortfolio optimization is a procedure for generating a portfolio composition which yields the highest return for a given level of risk or a minimum risk for given level of return. The problem can be formulated as a quadratic programming problem. We shall present a new and efticient optimization procedure taking advantage of the special structure of the portfolio selection problem. An example of its application to the traditional mean-variance method will be shown. Formulation o f the procedure shows that the solution of the problem is vector intensive and fits well with the advanced architecture of recent computers, namely the vector processor.