Set the cash dial, not the stock list.
01
There are two decisions, not one. Which risky portfolio (the highest Sharpe mix, same answer for everyone) and how much of it to hold (your answer, set by what you can stomach).
02
Your risk level sets the cash weight, not the names. Do not water the portfolio down with safe stocks. Hold less of the same good thing and keep the rest in cash.
03
The Sharpe is identical the whole way along the line. So picking your spot is a drawdown choice, not a return-efficiency one. Honest caveat: no perfect risk free asset exists, so real life nudges this, but the lesson holds.
Everyone deserves the same portfolio. What changes is how much of it you can hold without flinching. Find that number first, then dial the cash.