@article {Schirripa29, author = {Felix Schirripa and Nan D. Tecotzky}, title = {An Optimal Frontier}, volume = {26}, number = {4}, pages = {29--40}, year = {2000}, doi = {10.3905/jpm.2000.319762}, publisher = {Institutional Investor Journals Umbrella}, abstract = {The optimal frontier investment method described here represents a new portfolio construction process that relies on well{\textendash}established practices and theory. It incorporates the insurance concept of risk{\textendash}pooling into the Markowitz portfolio optimization process. This method offers investors returns higher than had previously been thought possible, with no increase in risk. In essence, this method pools a group of investors returns with different risk{\textendash}reward goals in a single efficient portfolio that preserves the group{\textquoteright}s average risk tolerance. The portfolio{\textquoteright}s overall return is then distributed to the investors on the basis of their preselected risk levels. Pooling each investor{\textquoteright}s risk and return goals in one combined portfolio results in higher returns for everyone, proving that in portfolio management, the whole does exceed the sum of its parts.}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/26/4/29}, eprint = {https://jpm.pm-research.com/content/26/4/29.full.pdf}, journal = {The Journal of Portfolio Management} }