PT - JOURNAL ARTICLE AU - Harry M. Markowitz AU - Felix Schirripa AU - Nan D. Tecotzky TI - A More Efficient Frontier AID - 10.3905/jpm.1999.319705 DP - 1999 Aug 31 TA - The Journal of Portfolio Management PG - 99--108 VI - 25 IP - 5 4099 - https://pm-research.com/content/25/5/99.short 4100 - https://pm-research.com/content/25/5/99.full AB - 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.