Can I build a high-frequency SMPS choke out of an arbitrary coil of wire?
Yes you could use an air cored coil .BUT there are some issues.1 you will want to shield it because of EMC and it could muck up other parts of your circuit.Air cored coils are worse for radiation than ferrite coils.Now if you do a toroidal air cored coil which I havent done you will get a worse resistance to inductance ratio which at 100KHz will be crippling.2 Your real SMPS coil carries the DC load current and some AC current .The AC current heats the wire more than expected due to skin and proximity effects.In fact its possible to design a coil that has a AC resistance 10 to 100 times its DC resistance.So you must design for low AC resistance .Litz wire ,Single layer ,Brooks dimensions,Spacing turns by one wire diameter are some of the things that are accepted ways of minimising AC resistance .The importance of this AC resistance stuff depends on your convertor waveform.You may set up your convertor to keep the ratio of AC to DC currents reasonable.3 your coil will be bigger than a ferrite which may not be a problem when the size of your hypothetical product is determined by heatsinks anyway.By the way I did a 36 to 12V buck with an air cored coil that produced 5 amp .It was fine.