PT  - JOURNAL ARTICLE
AU  - Clarence C.Y. Kwan
TI  - Improving the Efficient Frontier
AID  - 10.3905/jpm.2003.319874
DP  - 2003 Jan 31
TA  - The Journal of Portfolio Management
PG  - 69--79
VI  - 29
IP  - 2
4099  - https://pm-research.com/content/29/2/69.short
4100  - https://pm-research.com/content/29/2/69.full
AB  - Familiar portfolio concepts can explain why pooling of investor capital enables investors to achieve higher expected returns without additional risk exposure. The risk of the pooled investment must be a particular weighted average of the participating investors' preferred risks. Unveiling of the source of expected return improvements provides a clearer picture of what pooling can achieve. A variety of formulas to allocate the realized return from pooling among participating investors should help portfolio managers design effective allocation methods.