TY - JOUR T1 - Reengineering Investment Management JF - The Journal of Portfolio Management SP - 70 LP - 79 DO - 10.3905/jpm.2004.442623 VL - 30 IS - 5 AU - Mark Kritzman AU - Lee R. Thomas Y1 - 2004/08/31 UR - https://pm-research.com/content/30/5/70.abstract N2 - 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. ER -