Chapter 1: What Is an Asset Class?
- The composition of an asset class should be stable.
- The components of an asset class should be directly investable.
- The components of an asset class should be similar to each other.
- An asset class should be dissimilar from other asset classes in the portfolio as well as combinations of the other asset classes.
- The addition of an asset class to a portfolio should raise its expected utility.
- An asset class should not require selection skill to identify managers within the asset class.
- An asset class should have capacity to absorb a meaningful fraction of a portfolio in a cost‐effective manner.
Chapter 2: Fundamentals of Asset Allocation
- A portfolio's expected return is the weighted average of the expected returns of ...