Might be in the weeds here, however I figure I’d shoot.
So, I understand that you always select the port with the highest Sharpe for the tangency port. However, if there’s a constraint against leverage - what if this port does not meet your required rate of return. Do you go to the 2nd highest Sharpe and so-forth until you find the right one?
Perhaps this isn’t a feasible question. However, in the back of my mind it seems like a possibility. Thanks in advance!