Asset Allocation isn't so easy

The last couple of weeks I have been giving asset allocation a lot of thought. Everyone has their own ideas about this topic, and I'm still trying to lock down what I want my target to be. I'm currently thinking 20% international, 10% bond, 35% large cap domestic, 20% mid cap domestic, and 15% small cap domestic. That would get me a lot of exposure to the high risk/reward smaller companies but still diversify me across large caps and bonds. As young as I am I need to be willing to put money into high long-term return vehicles.

That's all well and good, but how does one go about achieving their target asset allocation? I'm a big believer in the efficiency of the market and thus a big believer in index funds. Low cost, good returns, simple to manage. But I'm pretty young, and my employer-related benefits (401k and alternative 401a pension) make up some 60% of my portfolio. That would be okay if my fund options in those vehicles included index fund choices and especially if there were small- and mid-cap options. Those choices are slim, though. I have one S&P 500 index in the 401k, and then small- and mid-cap index funds from ING in the 401a. Beyond that there aren't index funds to speak of, so currently I have considerable assets in managed funds.

The bottom line is, I can get large-cap exposure in the 401k and small- and mid-cap exposure in the 401a, but ONLY if I devote all of my funds that way in the respective plans. I know I should be looking at my overall portfolio allocation, but for some reason having all my eggs in one basket within a plan makes me nervous. What to do? Well, for now I have a Roth IRA with Vanguard and a Rollover IRA with Fidelity, and both afford me many more low-cost options, but those are a much smaller percentage of my total portfolio, so their influence isn't great. I guess if I truly want to achieve my target allocation, I'm going to have to move nearly all my 401k assets to large cap and nearly all my 401a assets to small- and mid-cap. Do my nerves regarding this seem irrational? Maybe those of you with more experience can advise.