Research
Modern Portfolio Theory (MPT), by Harry Markowitz:- Diversification
- Capital Allocation line
- Efficient Frontier
"Mean-variance optimization results in an efficient frontier, where each point on the frontier represents the risk and return of an efficient asset allocation. Efficient asset allocations maximise expected return for a given level of risk, or equivalently, minimize risk for a given level of return."
(Thomas M. Idzorek, Strategic Asset Allocation and Commodities)
For more information on Asset Allocation:
http://en.wikipedia.org/wiki/Efficient_frontier
Strategic Asset Allocation: Portfolio Choice for Long-Term Investors, John Y. Campbell Harvard University and Arrowstreet Capital, LP
Strategic Asset Allocation and Commodities, Thomas M. Idzorek, 2006 Ibbotson Associates
Indexing, by John Bogle: