  Our article is focused on the application of Markowitz Portfolio Theory and
the Single Index Model on 10-year historical monthly return data for 10 stocks
included in FTSE Bursa Malaysia KLCI, which is also our market index, as well
as a risk-free asset which is the monthly fixed deposit rate. We will calculate
the minimum variance portfolio and maximum Sharpe portfolio for both the
Markowitz model and Single Index model subject to five different constraints,
with the results presented in the form of tables and graphs such that
comparisons between the different models and constraints can be made. We hope
this article will help provide useful information for future investors who are
interested in the Malaysian stock market and would like to construct an
efficient investment portfolio. Keywords: Markowitz Portfolio Theory, Single
Index Model, FTSE Bursa Malaysia KLCI, Efficient Portfolio
