A portfolio is a combination of a number of securities. Portfolio analysis is a quantitative method for selecting an optimal portfolio that can strike a balance between maximizing the return and minimizing the risk in various uncertain environments. To select the optimal portfolio, we must first answer the questions “what is return of a portfolio” and “what is risk of the portfolio”. If we could only use the natural language like “the likely gain of the portfolio” to describe return and “the likely loss of the portfolio” to describe risk, we would not be able to quantify return and risk of the portfolio. Then it would be impossible to compare the return level and risk level of portfolios, let alone find the maximum return and minimum risk. To use measurable terms to define return and risk, we should start with input data, i.e., the individual security returns.