%0 Journal Article %A Kurt D Winkelmann %T Improving Portfolio Efficiency %D 2004 %R 10.3905/jpm.2004.319927 %J The Journal of Portfolio Management %P 23-38 %V 30 %N 2 %X 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. %U https://jpm.pm-research.com/content/iijpormgmt/30/2/23.full.pdf