I've tried linking epics to an initiative but maintaining that manually is not optimal.
When you say "setup" I imagine you're talking about the planning - not the configuration of initiatives?
If so, I think this is a serious limitation of Portfolio. Those parent links are only editable in the Portfolio viewer and appears maybe possible to set via REST API.
I too have really been struggling to find a good way to link epics - but it seems like you have to do your epic creation in portfolio if you want an automatic link.
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