Hi guys,I would like start investing my own money. I am not aiming to be a day trader. I just want to optimally diversify, long only, leave things as they are for a year and then rebalance. What would be good reading material to start with? What do you do with your personal investments?CheersSteilermeier

So you want to capture some beta. You have a few options:You probably could do worse than to build a portfolio with some ETFs. A straightforward way would be to hold a collection of world indicies and maybe some fixed income/commodities funds depending on your desires. Less straight forward would be to use some ETFs to build a style-based investment (i.e. make bets on factors such a momentum/value etc)Much easier to get burned with this though, so best to avoid it unless you have a reason for taking a view.If you want to 'invest and forget' I would determine a target yield and 'risk' and blend some index ETFs to get the desired result. Alternatively, since any of your estimates will almost certainly be incorrect you could just go 1/N on a collection of sensibly chosen ETFs. Hell, if you don't want to be completely boring you could do that but save 10% of your cash for a more exciting side position: overweight the Nikkei? Overweight Russia?The above is assuming that you don have enough money to directly implement these positions. If that is not the case however then answers could be slightly different!

Hi neuroguy,thanks for your reply.My plan was to go for ETFs anyways after I read a couple of papers saying active management is on average worse than passive (especially after all costs).Is 1 / N the better allocation in comparion to Markowitz since for the latter we need a covariance matrix and the usual estimators are not stable enough? I heard about robust portfolio selection but haven't found the time yet to read anything. With lower and lower rates the pressure rises to get some nice stock investments...CheersSteilermeier

If in doubt, use 1/N. 1/vol might be better (beware of very low vols, though). Do not do Markowitz because of uncertainty of expected returns.Another option is to assume all assets have same Sharpe ratio and then do Markowitz (i.e. set expected return to vol rather than estimating it).