Portfolios are commonly used in finance literature to study asset‐pricing models. In business practice portfolios are used to detect abnormal performance in certain asset groups or to construct reference assets. However, analyses on practical issues related to portfolio construction are surprisingly few. This paper presents and discusses issues related to portfolio return calculation from theoretical and practical perspectives. Special attention is given both to smaller and emerging stock markets. These stock markets often share common features like low liquidity, multiple stock series, and changes in foreign ownership restrictions that greatly affect portfolio construction.