Constructing a Harvard Portfolio

How to construct a Harvard Portfolio

Given the expanding universe of publicly-traded securities that track industry sectors, geographies, and indices, average individual investors could have replicated the Harvard Endowment portfolio using a combination of stocks, index funds, and ETF’s for the respective asset classes.

Determining how much to allocate to each sector would require making estimates about return, volatility, and correlation among asset classes and plugging these numbers into an optimizer.

Source: http://www.portfoliomonkey.com/blog/?p=16