I posted a video on my YouTube channel covering some of the arguments against market cap weighted index investing - basically that all investors are different and while the market portfolio is theoretically optimal for the average investor, investors who are different from average may consider accommodating those differences through their asset allocation decisions.

If an investor is exposed to certain risks outside of their portfolio, like in their job or business, they may want to avoid those risks in their portfolio, while an investor who is not exposed to any risks outside of their portfolio may want to tilt their portfolio toward the risks that most investors want to avoid.

As a supplement to that video, we have put together a handful of clips that reinforce the message. I hope that they are useful.

Check out Ben's video here:    • Who Should NOT Invest in Total Market...  
Episode 169 with John Cochrane:    • RR # 169 - John Cochrane: (Modern) Mo...  
Episode 200 with Eugene Fama:    • RR #200 - Prof. Eugene Fama  
Episode 234 with Robert Merton:    • Prof. Robert C. Merton: ICAPM, Retire...  
Episode 220 with Jonathan Berk:    • RR#220 - Jonathan Berk and Jules van ...  

Timestamps:
0:00 Intro
2:34 John Cochrane on investor heterogeneity (ep 169)
11:48 John Cochrane on value stocks (ep 169)
15:24 Eugene Fama on why the market portfolio is a good starting point, and when investors may deviate from it (ep 200)
19:44 Robert Merton on the ICAPM and deciding which risks matter (ep 234)
30:10 Jonathan Berk on why buying the market hedges against mistakes (ep 220)