segalm

yes...well kind of...they are the portfolios available to the investor. In theory, you would include all available portfolios/assets in the analysis.

In reality though, this exercise is more philosophical than practical. Deterministic, one period optimization is very constraining. And if you use historical sample stats, your optimal portfolio can look very strange. So oftentimes to get a realistic optimal portfolio, if you're going to do mean variance optimization, you have to choose a limited sample of available assets, or a set of assets already aggregated into portfolios/asset classes.