Bukun -
No, I mean to say I shall correct you when apropos.
For example, it is not Markowitz but Sharpe with whom CAPM most strongly is linked. Here's a nice summary: nobel.se
Regarding index choice, there is the mystery of how non-equity assets vanish under CAPM. Further, US equities are prima facie inappropriate to a global madate. If you must have equities alone, try the FTA or MSCI World.
Regarding active management, I can recommend "The Active versus Passive Debate: Perspectives of an Active Quant", Robert C. Jones, Ch. 3, _Active Equity Portfolio Management_, Frank J. Fabozzi ed. (Fabozzi Associates 1998).
I bug you about switching to NASDAQ because you paint yourself a reformed, active investor turned pure, academic indexer. Overweighting NDX seems a contradiction.
Before you again cast aspersions ("ostrich-like"), recall which of the two of us is better informed in this field.
-mb |
