PT  - JOURNAL ARTICLE
AU  - Mark Kritzman
AU  - Lee R. Thomas
TI  - Reengineering Investment Management
AID  - 10.3905/jpm.2004.442623
DP  - 2004 Aug 31
TA  - The Journal of Portfolio Management
PG  - 70--79
VI  - 30
IP  - 5
4099  - https://pm-research.com/content/30/5/70.short
4100  - https://pm-research.com/content/30/5/70.full
AB  - The conventional approach to building portfolios of investments is inefficient. Our usual hierarchy of investment decisions imposes constraints on active management that are under most circumstances unnecessary and produce mean-variance-inefficient portfolios. An approach to portfolio design based on the concept of alpha portability eliminates these harmful constraints; an analogous idea is beta portability. Numerical examples reveal that alpha independence and separation are necessary but insufficient conditions for mean-variance efficiency. These features must be combined with leverage to effect portability and achieve the best expected outcome.