George said:

"I would like to see a program or a book that for a given return, gives you the best possible portfolio."

George:

I have explored this theme in a number of my articles.  This can be done in a systematic fashion if you limit the universe somewhat--say to ETF's, for example.  This would need to be updated periodically, of course.  It makes sense in this context to use forward-looking models.  An example discussion is give in this Article:

Getting the Most Return for Your Risk, Part II

On a related topic, may find this article to be of interest:

Article on Designing Target Date Portfolios

This issue is related to target date portfolios because this is as issue that target date funds contend with, given constraints.

When you get down to individual stocks, things get more complex because their are factors other than just projected return and risk.  How much exposure are you willing to have to individual stocks?  Tax issues can be important. 

There are also a range of issues that pertain to personal circumstance, goals, needs, etc. 

As this is the Diehards forum, I feel compelled to note that the most important thing is not to 'optimize' but rather to pursue the most basic issues:

1) low fees / transaction costs

2) solid diversification

3) don't chase performance

 Still, your idea is an interesting one--it could be a periodic release.

Regards,

 Geoff