How to choose the best portfolio

[[email protected]]

Hi

I would like to know how to choose the best portfolio if you are given the following (where each portfolio contain the same 10 stocks):
Portfolio 1: Minimum Variance Portfolio wit Short Sale
Portfolio 2: Minimum Variance Portfolio without Short Sale
Portfolio 3: Optimal Risky Portfolio with Short Sale
Portfolio 4: Optimal Risky Portfolio without Short Sale

Based on observation, the portfolio 4 has a higher value at the end of a $1000 investment period but I believe there is other things we should take into account in order to decide which is the best portfolio. Is there any theorem or theory to base on?
Does it depend on the investor's profile when choosing the best one?
What is the difference between each of the four portfolio (I know in terms of math but not too sure intuitively)?
(Min Var portfolio is the point with min standard deviation on the efficient frontier and optimal risky is the point with highest sharpe ratio on the efficient frontier)
What is the difference between short sale and without short sale?
Which one is the best of the four portfolio?

Thank you.

 

[Jiew Kwang]

I'm guessing its portfolio 3. Its just my instinctive answer and my understanding of the portfolio strategy is similar to what a protective put would be..