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Synopsis

Innovative approaches to putting asset allocation intopractice

Building on more than 15 years of asset-allocation research,Paul D. Kaplan, who led the development of the methodologies behindthe Morningstar Rating(TM) and the Morningstar Style Box(TM),tackles key challenges investor professionals face when puttingasset-allocation theory into practice. This book addresses commonissues such as:

  • How should asset classes be defined?
  • Should equities be divided into asset classes based oninvestment style, geography, or other factors?
  • Should asset classes be represented by market-cap-weightedindexes or should other principles, such as fundamental weights, beused?
  • How do actively managed funds fit into asset-class mixes?

Kaplan also interviews industry luminaries who have greatlyinfluenced the evolution of asset allocation, including HarryMarkowitz, Roger Ibbotson, and the late Benoit Mandelbrot.Throughout the book, Kaplan explains allocation theory, creates newstrategies, and corrects common misconceptions, offering originalinsights and analysis. He includes three appendices that put theoryinto action with technical details for new asset-allocationframeworks, including the next generation of portfolio constructiontools, which Kaplan dubs "Markowitz 2.0."

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