RT Journal Article SR Electronic T1 Improving Portfolio Efficiency JF The Journal of Portfolio Management FD Institutional Investor Journals SP 23 OP 38 DO 10.3905/jpm.2004.319927 VO 30 IS 2 A1 Kurt D Winkelmann YR 2004 UL https://pm-research.com/content/30/2/23.abstract AB A demanding market environment has left many investors seeking new solutions to address today's investment challenges. Questions concerning issues such as portfolio efficiency and active risk are at the forefront of investors' minds as they work through investment policy decisions. The framework here enables investors to analyze their investment policy in light of these questions, including risk budgeting and implied relative confidence levels. A typical defined-benefit portfolio illustrates the link between the active risk budget and the confidence investors place in one active strategy over another. Some important policy recommendations include introducing portable alpha and active overlay strategies, increasing allocations to hedge funds, and effectively diversifying investors' private equity portfolio.