@article {Muralidhar97, author = {Arun S. Muralidhar}, title = {Optimal Risk-Adjusted Portfolios with Multiple Managers}, volume = {27}, number = {3}, pages = {97--104}, year = {2001}, doi = {10.3905/jpm.2001.319805}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Previous research demonstrated how current measures of risk{\textendash}adjusted performance are insufficient for ranking investment managers or structuring portfolios, and provided an alternative measure called correlation{\textendash}adjusted performance (CAP). The new measure accounts for differences in standard deviations, the correlation between portfolios and the benchmark, and the fact that investors have a target relative risk. In this article, the author extends the analysis for institutional investors with multiple manager portfolios. This technique facilitates optimal portfolio construction by combining the risk{\textendash}free asset, the benchmark, and many investment managers. Since managers are less than perfectly correlated with each other, unattractive managers on a stand{\textendash}alone basis may be chosen for their diversification properties and overall risk{\textendash}adjusted performance can be increased over that of the highest yielding manager. The author also shows that the case for passive management is greatly diminished under this paradigm.}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/27/3/97}, eprint = {https://jpm.pm-research.com/content/27/3/97.full.pdf}, journal = {The Journal of Portfolio Management} }