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The efficient frontier is defined as the set of portfolios which have the highest return for a given measure of volatility, i.e. $\{S: s \in P \; s.t. \nexists \; t \in P \; \text{where} \;R(s) < R(t) \; \text{and} \; \sigma(s)=\sigma(t) \}$, where $P$ is the set of all validly constructed portfolios. Therefore this also holds for the efficient frontier ...


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There isn't a fix because you are misunderstanding quadratic utility. That is supposed to be the result. Despite the fact it is used with equity securities, such a use would always be invalid due to the absence of a first moment in the distribution. Nonetheless, as a general utility function with doubly bounded distributions, there is absolutely nothing ...


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