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Paper presents some techniques for portfolios efficient set modelling in Excel. From the technical point of view one needs to solve a series of quadratic programming problems that are known as Markowitz portfolio selection problems. For an effective realisation of the process solving, the Excel solver specially created VBA procedures were used. The first part of the paper illustrates an application of the procedures for modelling efficient portfolio sets of the selected countries on the base of one year performances of their markets in period from 1900 to 2000. In the second part the methodology of efficient frontier modelling in Excel environment is presented together with its illustration for modelling of efficient portfolios sets of selected capital market segments.