# What's the disadvantage of using linear programming for portfolio optimization?

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?

• Please write explicitly what you are trying to maximise and the constraints – Kian Aug 9 '15 at 12:09