RT Journal Article
SR Electronic
T1 A More Efficient Frontier
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 99
OP 108
DO 10.3905/jpm.1999.319705
VO 25
IS 5
A1 Harry M. Markowitz
A1 Felix Schirripa
A1 Nan D. Tecotzky
YR 1999
UL https://pm-research.com/content/25/5/99.abstract
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.