The optimal combination of the global market portfolio and the alpha portfolio may result in a portfolio that is too risky for a particular investor. To meet individual risk preferences, investors may invest parts of their total portfolio into risk-free assets.Tailored investment  In practice, the concept of a risk-free asset is ambiguous. Accordingly, investors may instead invest in a portfolio of near-risk-free assets, such as money market funds. We consider two types of investors to objectify the subjective term “risk”. First, an investor for whom standard deviation is a good measure of risk, and second an investor for whom the probability of loss is important.