Is anyone here able to refer me to any information about (a) the historical and/or empirical (research) foundation for asset allocation advice (especially about asset allocation as a function of investor age), and (b) a detailed discussion or planner for asset allocation that takes into account personal subtleties and variations such as the size of one's nestegg, pensions, etc?

NOTE: I am NOT interested in advice about how to allocate my portfolio, e.g. " 'your age - 65' should go into fixed-income securities, 1/3 of the rest should be in blue chips, " etc.

So far as I am concerned, asset allocation is bunk. You should be in the asset classes that are moving up the most. When the momentum goes down in what you have, move elsewhere or go to cash.

Of course, if you want a "set it and forget it" approach, you can find some asset allocation scheme. But that is a terrible way to invest.

Several years ago, some idiot commentator said that market fluctuations were just "statistical noise". He never defined the term, and neither have I. But I did write a (hopefully funny) presentation about the topic.

http://www.actwin.com/kalostrader/StatisticalNoise.html