Where is the Efficient Frontier.

Tremendous effort has been spent on the construction of reliable efficient frontiers. However, mean-variance efficient portfolios constructed using sample means and covariance often perform poorly out of sample. We prove that, the capital market line is the efficient frontier for the risky assets in a financial market with liquid fixed income trading. This unified understanding of riskless asset as the boundary of risky assets relieves the burden of constructing efficient frontiers in asset allocation problems, and allows for much better asset allocation decisions. It greatly simplifies the exposition on investment theory. [ABSTRACT FROM AUTHOR]