This article is a review of the historical development of the Modern Portfolio Theory (MPT). Harry Markowitz first introduced MPT on the basis of covariance by employing the quadratic programming model. Later the MPT model was replaced by the CAPM model, which was introduced by W. Sharpe and was based on systematic risk factor measurement, i.e. . fJ. However, both models had faced criticism due to their underlying assumptions. In 1970's Ross introduced APT (Arbitrage Pricing Theory), which took into account certain risk factors different from that used in CAPM model. The scientific application of mathematical. programming along with the wide application of MP models has greatly influenced the investment theories. Among such influence of MP modeling on investment theories is the application of goal programming, which was first applied by Charnes and Cooper in 1961. In 1973 A.J. Lerro and Sany M. Lee applied goal programming to protfolio selection which later on was further developed by others working on investment theory. This article provides a brief overview of models in relation to portfolio theory from 1966 to present.
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