A review of the traditional literature of the efficient frontier of mean-variance (MV) reveals the development of an alternative to CAPM and the Capital Market Line, the re-elaboration of a test to measure the efficient frontier without riskless assets, and the development of the efficient frontier with short sales. These perspectives let us re-elaborate the concept of a risky substitute portfolio that generates a profit equal to that of a riskless financial asset. This papers develops some propositions for the formation of a portfolio that can substitute for the riskless asset, but that is made up of risky assets and has set investment proportions. Likewise, the paper analyzes the creation of a substitute for the market portfolio. © EuroJournals, Inc. 2008.