I am a MFE student and we have project on the Markowitz portfolio optimization problem.
i am wondering how much impact there will be, if I use a simpler linear optimizater instead of a quadratic one.
Say, i have a target portfolio x, my alpha is a
i will try to maxizme xa, and apply a factor exposure limit:
l0 < Ax < l1
while A is my factor exposure
What's the biggest disadvantage of above approach, compared with the classic quadratic approach widely used in Markowitz portfolio optimization .
Can anyone explain to me a bit?