TY - JOUR T1 - A More Efficient Frontier JF - The Journal of Portfolio Management SP - 99 LP - 108 DO - 10.3905/jpm.1999.319705 VL - 25 IS - 5 AU - Harry M. Markowitz AU - Felix Schirripa AU - Nan D. Tecotzky Y1 - 1999/08/31 UR - https://pm-research.com/content/25/5/99.abstract N2 - In this article, the authors show how a community of investors can provide each of its members with higher expected return for a given standard deviation than any individual member can obtain alone by picking a portfolio from an efficient frontier. The procedure entails pooling the assets of the members into a single community portfolio, then apportioning the gains or losses on this portfolio according to a function depending on the member's respective risk-return preferences. Use of such a function makes the pooled risk control procedures equivalent to an “internal risk-free rate” at which conservative investor members lend to more aggressive members. The authors argue, however, that this particular version of pooled procedures is not likely to prevail among investment communities. ER -