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The Journal of Portfolio Management

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Primary Article

Improving the Efficient Frontier

Clarence C.Y. Kwan
The Journal of Portfolio Management Winter 2003, 29 (2) 69-79; DOI: https://doi.org/10.3905/jpm.2003.319874
Clarence C.Y. Kwan
A professor of finance at the Michael G. DeGroote School of Business at McMaster University in Hamilton, Ontario, Canada.
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  • For correspondence: kwanc@mcmaster.ca
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Abstract

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.

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The Journal of Portfolio Management
Vol. 29, Issue 2
Winter 2003
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Improving the Efficient Frontier
Clarence C.Y. Kwan
The Journal of Portfolio Management Jan 2003, 29 (2) 69-79; DOI: 10.3905/jpm.2003.319874

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Improving the Efficient Frontier
Clarence C.Y. Kwan
The Journal of Portfolio Management Jan 2003, 29 (2) 69-79; DOI: 10.3905/jpm.2003.319874
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