The importance of linking Enterprise Risk Management (ERM) with the strategic planning process has been well recognized in recent years. The current practice to achieve the linkage between ERM and strategy is to validate that the new business sales target is within each business’s risk tolerance derived from the firm’s overall risk appetite. The risk tolerance is effective in setting the boundary conditions; however it doesn’t go further to articulate a strategy that would best balance value creation and capital efficiency. More specifically, the risk appetite framework alone cannot identify a set of ideal combinations of growth rates of the firm’s businesses given its unique risk profile. To identify the ideal combinations this paper attempts to create a new tool: an efficient frontier of new business.