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Because these two objectives are typically in conflict, an adequate and reasonable solution notion is that of efficiency (Pareto-optimality) this leads to the classical and well-known portfolio optimization problem with two objectives. In this paper the author presents a dual multi-objective problem to the Markowitz portfolio optimization problem. For the Markowitz problem the author considers the properly efficient solutions while for the dual problem -- the efficient solutions and derives the so-called weak and strong duality assertions. In particular, a linear scalarization of the Markowitz problem is used to prove these results. 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