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MAXIMIZE r(1)w(1) + ... +r(n)w(n)
st.
sum_{ij} Q(i,j)w(i)w(j) <= K
w(1) + ..... + w(n) = 1
w(1),....... ,w(n) >= 0

where
r(i) : return on asset i
Q(i,j): covariance between the returns of i^th and j^th assets.
K : a scalar denoting the level of risk of loss.
w(i) : proportion of total budget invested on asset i