Abstract:Linearity can be used to introduce qualitative analysis in portfolio optimization using very specific heuristics which in some cases carries enough information to anticipate the entire (qualitative) rank of solutions. This result is shown in the first part of our study. In the second part we show that correct analysis of optimal portfolios, and in particular those minimizing portfolio variance, requires complementary quantitative analysis with qualitative analysis as not all efficient portfolios have the same … Show more
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