John H. Cochrane有一篇论文
<<Portfolios for Long-Term Investors>>
( https://www.johnhcochrane.com/research-all/long-term-portfolios )
我觉得很值得一读
里面提供了许多观点
不管你最后同不同意
都很值得至少思索一番
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容我引用其中的一段话:
"The average investor must hold the market portfolio."
"The average-investor theorem is powerful, because portfolio theory is hard.
You have to estimate or otherwise understand time-varying means and
covariances of asset returns and state variables, alphas, and betas. Then you
have to make a difficult computation, and do a lot of massaging to keep it
from blowing up."
"But if you know that you are no different than the average—
or if you do not really know you are different and how—you are done, you
know the answer. Off to the total market portfolio with you."