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Suppose that two portfolio managers who work for competing investment management houses each employ a group of security analysts to prepare the input list for
Suppose that two portfolio managers who work for competing investment management houses each employ a group of security analysts to prepare the input list for the Markowitz algorithm. When all is completed, it turns out that the efficient frontier obtained by portfolio manager A dominates that of manager B. By dominate, we mean that As optimal risky portfolio lies northwest of Bs. Hence, given a choice, investors will all prefer the risky portfolio that lies on the CAL of A.
What should be made of this outcome?
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