Subject: Re: I am noodling on a major change to my portfolio.

My understanding of the academic literature on asset allocation is that it is possible to show that, at any given moment in the past, there was an optimum asset allocation (in risk/reward terms, risk being TBD); but that it is not possible to know what an optimum allocation will look like in the future; in which future it will remain subject to change anyway.

I think the real problem is not the elusiveness of optimality, but concern that diversification per se no longer provides much protection from the swings of the market. Even people who expect to pay something for reduced volatility are finding the price too high for what they get.

Baltassar