Numerous real-life portfolio optimization problems require consideration of more than one benchmark and/or more than one portfolio. These problems are formulated in a way that seems to be more complicated than the standard problem of mean–tracking-error-variance optimization. In fact, however, these diverse problems can be reduced to the standard case and solved with the same algorithm. This article provides solutions to the dual-benchmark problem, the portfolio partition problem, and the completion portfolio problem. Such solutions and applications are important to both portfolio managers and plan sponsors.