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The compositional asymmetry of biological membranes has attracted significant attention over the last decade. Harboring more differences from symmetric membranes than previously appreciated, asymmetric bilayers have proven quite challenging to study with familiar concepts and techniques, leaving many unanswered questions about the reach of the asymmetry effects. One particular area of active research is the computational investigation of composition- and number-asymmetric lipid bilayers with molecular dynamics (MD) simulations. Offering a high level of detail into the organization and properties of the simulated systems, MD has emerged as an indispensable tool in the study of membrane asymmetry. However, the realization that results depend heavily on the protocol used for constructing the asymmetric bilayer models has sparked an ongoing debate about how to choose the most appropriate approach. Here we discuss the underlying source of the discrepant results and review the existing methods for creating asymmetric bilayers for MD simulations. Considering the available data, we argue that each method is well suited for specific applications and hence there is no single best approach. Instead, the choice of a construction protocol—and consequently, its perceived accuracy—must be based primarily on the scientific question that the simulations are designed to address.