TY - JOUR T1 - Improving the Efficient Frontier JF - The Journal of Portfolio Management SP - 69 LP - 79 DO - 10.3905/jpm.2003.319874 VL - 29 IS - 2 AU - Clarence C.Y. Kwan Y1 - 2003/01/31 UR - https://pm-research.com/content/29/2/69.abstract N2 - 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. ER -