RT Journal Article
SR Electronic
T1 Improving the Efficient Frontier
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 69
OP 79
DO 10.3905/jpm.2003.319874
VO 29
IS 2
A1 Clarence C.Y. Kwan
YR 2003
UL https://pm-research.com/content/29/2/69.abstract
AB 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.