On the Computation of the Efficient Frontier of the Portfolio Selection Problem

Table 6

Sensitivity analysis of an efficient portfolio.

Return	Sensitivity interval	Changes in the portfolio	Efficient frontier
	[0.87242, 0.937596]	BBVA exits	2.39395𝑟^2−0.0380155𝑟+0.000642
0.9%	[0.937596, 0.942124]	IBG enters	2.11613𝑟^2−0.0328059𝑟+0.000617
	[0.942124, 0.97665]	MCM enters	3.17967𝑟^2−0.0528456𝑟+0.000712
0.99%	[0.97665, 0.995887]	AND enters	3.3637𝑟^2−0.0564403𝑟+0.000729
1%	[0.995887. 1.000181]		3.63485𝑟^2−0.061841𝑟+0.000756
1.01%	[1.00018, 1.01099]	None	2.92292𝑟^2−0.0475998𝑟+0.000685
1.1%	[1.01099, 1.12637]	ITI enters	2.8056𝑟^2−0.0452276𝑟+0.000673