Savio,

Thank you for your kind words. You are right in pointing out that there are various "criteria" investors could use to determine what asset classes should go into the puzzle. What Lee and Franzen discussed in the first point were in a way what have passed the screening process.

The explosion of new "asset classes" complicates this picture. Note liquidity becomes a more important criteria in the selection process as the number of asset classes multiply and co-variance matrices become less effective. We'll get into more details in the next post. Stay tuned.

Warm regards,
Larry