作为科学，任何类别的资产在整合组合中的占比不应低于5-10%，以彰显其重要性，但又不应高于25-30%，以避免显得过于重要。The necessity that each asset class matter dictates a minimum of 5 or 10 percent allocation. The requirement that no asset class matter too much dictates a maximum of 25 or 30 percent allocation。
作为艺术，构建投资组合时要考虑的因素包括：个人偏好、个人境状和投资能力。 一个符合个人偏好的投资组合更能经受得住市场的起起伏伏。作为个人资产的一部分，投资组合应与个人的总体资产、负债情况相得益彰。对个人投资技巧实事求是的评估有助于投资者采取一种回归根本、去芜存精的策略。 Mindfulness of personal preferences, personal circumstances, and personal skills leads to better decisions regarding allocation of financial assets. Adjustment of portfolios for personal preferences leads to greater likelihood of maintaining asset-class exposures through thick and thin. Consideration of personal circumstances produces financial asset exposures that complement an investor’s overall asset and liability. Realistic assessment of personal investment skills generally causes investors to take a basic, no-frill approach to portfolio construction. A customer-tailored portfolio promises great customer satisfaction than the one-size-fits-all alternative.
作者在书中数次强调，投资技艺是一种非常稀有的东西。Special investment skill constitutes an extremely rare commodity. 作者引用罗伯特·希勒的话说，“人类有一种无所不在的过度自信”，导致投资者“观点过于偏激，或者急于下结论”。“a pervasive human tendency towards overconfidence” causes investors “to express overly strong opinions or rush to summary judgments”.
在构建投资组合时，还要考虑时间因素。通常来讲，时间越长，持有风险资产应该越多。 The period that investors intend to hold portfolios and the horizon over which they judge investment results play a critical role in determining the degree of risk appropriate for a portfolio and in assessing the likelihood of successful implementation of investment strategies.
1、国内公司债券。它对投资者的不利之处在于信用风险、流动性不及国债、回购条款。 股票组合可以“失之东榆，收之桑榆”，债券组合则无此特征。The key to this apparent contradiction lies in the superior ability of a portfolio of equities to absorb the impact of single security-induced adversity. Because individual stocks contain the potential to double, triple, quadruple, or more, a portfolio of equities holds any number of positions that could more than offset one particular loser. In contrast, high-quality bonds provide little opportunity for substantial appreciation. The left tail of the negatively skewed distribution of outcomes hurts bond investors in dramatic fashion.
国内公司债券的流动性不及国债，因为需支付溢价。长期投资者可以获得差流动性带来的更高收益。
带有回购条款的公司债券使投资处于“必输”境地（heads you win, tails I lose）。因为，市场利率下降时，公司可以回购债券，使投资者无法享受债券原来较高的利率，市场利率上升时，投资者只能忍受债券原来较低的利率。
对投资者来说，公司债券的收益具有“不利的偏态分布”（negatively skewed distribution of outcomes），即最有利的情形是获得本金+利息，最不利的情形是亏损掉本金。
Wall Street’s version of rocket scientists employ complicated computer models in a quest to determine the fair value of the mortgaged-backed securities. Sometimes the models work, sometimes not. If financial engineers face challenges in getting the option pricing right, what chance do individual investors have?
5、外国债券。问题和国内公司债券一样。
作者认为，外汇本身并不产生收益。Foreign currencies, in and of themselves, provide no expected return.
6、对冲基金。尽管对冲基金“乱花渐欲迷人眼”，也时有暴富神话在市场流传，但更多的是“存活者偏差”（survivorship bias）。它最大的问题是：基金经理决定胜败，因此，选择技艺高超的基经经济至关重要。而作者认为，高超的投资技巧是一种稀有东西。Consistent, superior active management constitutes a rare commodity.
如果要投资对冲基金，基金经理跟投是解决利益冲突的良方。A meaningful side-by-side commitment of investment manager capital substantially reduces the misalignment of manager and investor interests.
7、杠杆收购。杠杆收购基金的主要问题是：收费过高，通常收取1.5-2.5%的管理费，20%的业绩提成（profit interest），以及其他transaction and monitoring fees。 除非真正具备高超的选择基金的技巧，否则投资者应远离私人股权基金。In the absence of truly superior fund selection skills (or extremely luck), investors should stay far, far away from private equit investments.
8、风险投资基金。尽管表面看起来很光鲜，但它们并不能提供更高的收益。Venture Economics杂志在《2001 investment benchmarks reports》中提供的数据显示，在截止2000年底的20年间，它的950个样本风险投资基金的收益为19.6% per year。这虽然看上去不错，但同期标普500是20.2%。