Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 36

Investors have access to a vast array of assets with which to form portfolios, ranging from individual securities to broadly diversified funds. The first order of business is to organize this massive opportunity set into a manageable set of choices. If investors stratify their opportunity set at too granular a level, they will struggle to process the mass of information required to make informed decisions. If, instead, they stratify their opportunity set at a level that is too coarse, they will be unable to diversify risk efficiently. Asset classes serve to balance this trade-off between unwieldy granularity and inefficient aggregation.

In light of this trade-off and other considerations, we propose the following definition of an asset class.

An asset class is a stable aggregation of investable units that is internally homogeneous and externally heterogeneous, that when added to a portfolio raises its expected utility without requiring selection skill, and which can be accessed cost-effectively in size.

This definition captures seven essential characteristics of an asset class. Let us consider each one in detail.