%0 Journal Article %A Clarence C.Y. Kwan %T Improving the Efficient Frontier %D 2003 %R 10.3905/jpm.2003.319874 %J The Journal of Portfolio Management %P 69-79 %V 29 %N 2 %X 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. %U https://jpm.pm-research.com/content/iijpormgmt/29/2/69.full.pdf