{"product_id":"frontiers-of-modern-asset-allocation-isbn-9781118115060","title":"Frontiers of Modern Asset Allocation","description":"\u003cb\u003eInnovative approaches to putting asset allocation into practice\u003c\/b\u003e  \u003cp\u003eBuilding on more than 15 years of asset-allocation research, Paul D. Kaplan, who led the development of the methodologies behind the Morningstar Rating(TM) and the Morningstar Style Box(TM), tackles key challenges investor professionals face when putting asset-allocation theory into practice. This book addresses common issues such as:\u003c\/p\u003e \u003cul\u003e \u003cli\u003eHow should asset classes be defined?\u003c\/li\u003e \u003cli\u003eShould equities be divided into asset classes based on investment style, geography, or other factors?\u003c\/li\u003e \u003cli\u003eShould asset classes be represented by market-cap-weighted indexes or should other principles, such as fundamental weights, be used?\u003c\/li\u003e \u003cli\u003eHow do actively managed funds fit into asset-class mixes?\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eKaplan also interviews industry luminaries who have greatly influenced the evolution of asset allocation, including Harry Markowitz, Roger Ibbotson, and the late Benoit Mandelbrot. Throughout the book, Kaplan explains allocation theory, creates new strategies, and corrects common misconceptions, offering original insights and analysis. He includes three appendices that put theory into action with technical details for new asset-allocation frameworks, including the next generation of portfolio construction tools, which Kaplan dubs \"Markowitz 2.0.\"\u003c\/p\u003e  Foreword xi  \u003cp\u003eIntroduction xxiii\u003c\/p\u003e \u003cp\u003eA Note on Expected Return and Geometric Mean xxv\u003c\/p\u003e \u003cp\u003eAcknowledgments xxxi\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART ONE\u003c\/b\u003e \u003cb\u003eEquities\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 1 Purity of Purpose: How Style-Pure Indexes Provide Useful Insights 7\u003c\/p\u003e \u003cp\u003eCHAPTER 2 Investing in Europe with Style: Why Investors in Europe Would Benefit From Constructing Portfolios Through the Prism of Style 15\u003c\/p\u003e \u003cp\u003eCHAPTER 3 Why Fundamental Indexation Might—or Might Not—Work 21\u003c\/p\u003e \u003cp\u003eCHAPTER 4 The Fundamental Debate: Two Experts Square Off on the Big Issues Surrounding Fundamentally Weighted Indexes 39\u003c\/p\u003e \u003cp\u003eCHAPTER 5 Collared Weighting: A Hybrid Approach to Indexing 51\u003c\/p\u003e \u003cp\u003eCHAPTER 6 Yield to Investors? A Practical Approach to Building Dividend Indexes 63\u003c\/p\u003e \u003cp\u003eCHAPTER 7 Holdings-Based and Returns-Based Style Models 71\u003c\/p\u003e \u003cp\u003eCHAPTER 8 Estimates of Small Stock Betas Are Much Too Low 103\u003c\/p\u003e \u003cp\u003eCHAPTER 9 A Macroeconomic Model of the Equity Risk Premium 117\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART TWO\u003c\/b\u003e \u003cb\u003eFixed Income, Real Estate, and Alternatives\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 10 Good and Bad Monetary Economics, and Why Investors Need to Know the Difference 133\u003c\/p\u003e \u003cp\u003eCHAPTER 11 Inflation, Gilt Yields, and Economic Policy 143\u003c\/p\u003e \u003cp\u003eCHAPTER 12 Reverse Mean-Variance Optimization for Real Estate Asset-Allocation Parameters 147\u003c\/p\u003e \u003cp\u003eCHAPTER 13 The Long and Short of Commodity Indexes 157\u003c\/p\u003e \u003cp\u003eCHAPTER 14 Less Alpha and More Beta Than Meets the Eye 175\u003c\/p\u003e \u003cp\u003eCHAPTER 15 Venture Capital and its Role in Strategic Asset Allocation 179\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART THREE\u003c\/b\u003e \u003cb\u003eCrashes and Fat Tails\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 16 One-and-a-Quarter Centuries of Stock Market Drawdowns 193\u003c\/p\u003e \u003cp\u003eCHAPTER 17 Stock Market Bubbles and Crashes: A Global Historical and Economic Perspective 199\u003c\/p\u003e \u003cp\u003eCHAPTER 18 De´ ja` Vu All Over Again 211\u003c\/p\u003e \u003cp\u003eCHAPTER 19 De´ ja` Vu Around the World 223\u003c\/p\u003e \u003cp\u003eCHAPTER 20 Getting a Read on Risk: A Discussion with Roger Ibbotson, George Cooper, and Benoˆıt Mandelbrot on the Crisis and Risk Models 239\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART FOUR\u003c\/b\u003e \u003cb\u003eDoing Asset Allocation\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCHAPTER 21 Does Asset-Allocation Policy Explain 40 Percent, 90 Percent, or 100 Percent of Performance? 253\u003c\/p\u003e \u003cp\u003eCHAPTER 22 Asset-Allocation Models Using the Markowitz Approach 267\u003c\/p\u003e \u003cp\u003eCHAPTER 23 Asset Allocation with Annuities for Retirement Income Management 275\u003c\/p\u003e \u003cp\u003eCHAPTER 24 MPT Put Through the Wringer: A Debate Between Steven Fox and Michael Falk 303\u003c\/p\u003e \u003cp\u003eCHAPTER 25 Updating Monte Carlo Simulation for the Twenty-First Century 311\u003c\/p\u003e \u003cp\u003eCHAPTER 26 Markowitz 2.0 325\u003c\/p\u003e \u003cp\u003eCHAPTER 27 What Does Harry Markowitz Think? A Discussion with Harry Markowitz and Sam Savage 351\u003c\/p\u003e \u003cp\u003eAfterword 367\u003c\/p\u003e \u003cp\u003eAbout the Author 375\u003c\/p\u003e \u003cp\u003eIndex 377\u003c\/p\u003e   \u003cp\u003e\u003cb\u003ePAUL D. KAPLAN\u003c\/b\u003e is quantitative research director at Morningstar Europe and is responsible for the quantitative methodologies behind Morningstar's fund analysis, indexes, advisor tools, and other services. Dr. Kaplan conducts research on investment style analysis, performance and risk measurement, asset allocation, retirement-income planning, portfolio construction, index methodologies, and alternative investments. He led the development of quantitative methodologies behind the Morningstar Rating for funds (Morningstar's star rating), the Morningstar Style Box, and the Morningstar family of indexes. Many of Dr. Kaplan's research papers have been published in professional books and publications such as the \u003ci\u003eFinancial Analysts Journal\u003c\/i\u003e, the \u003ci\u003eJournal of Portfolio Management\u003c\/i\u003e, the \u003ci\u003eJournal of Wealth Management\u003c\/i\u003e, the \u003ci\u003eJournal of Investing\u003c\/i\u003e, the \u003ci\u003eJournal of Performance Measurement\u003c\/i\u003e, the \u003ci\u003eJournal of Indexes\u003c\/i\u003e, and the \u003ci\u003eHandbook of Equity Style Management\u003c\/i\u003e. He received the 2008 Graham and Dodd Award and won a Graham and Dodd Award of Excellence in 2000.    \u003c\/p\u003e\u003cp\u003eIn 1952, the economist Harry Markowitz introduced a now-commonplace concept: investors can construct an \"efficient portfolio\" by investing in diverse securities combined to maximize expected returns while minimizing expected volatility. Markowitz revolutionized investing. Ever since, the idea of asset allocation has been the bedrock of constructing portfolios. The pursuit of finding a portfolio's sweet spot—the optimal area where various asset classes work in conjunction to provide the most returns for the least risk—has given rise to an incredible body of research and range of products. \u003c\/p\u003e\u003cp\u003ePaul D. Kaplan has been right in the middle of these developments. First as a researcher for Ibbotson Associates and now for Morningstar, Dr. Kaplan has published dozens of articles and research papers over the past fifteen years that dig deeply into analyzing the moving parts of portfolio creation. In addition to pushing the asset-allocation debate forward with his research, Dr. Kaplan has helped develop products and tools for institutions, financial advisors, and individual investors that have made it practical to put the concepts of asset allocation into everyday use. \u003c\/p\u003e\u003cp\u003eIn \u003ci\u003eFrontiers of Modern Asset Allocation,\u003c\/i\u003e Dr. Kaplan brings together twenty-seven of his best articles and interviews. He divides the book into four parts—Equities; Fixed Income, Real Estate, and Alternatives; Crashes and Fat Tails; and Doing Asset Allocation—examining everything from how asset classes should be defined to whether they should be represented by market value–weighted indexes or other principles. The book also includes interviews with industry luminaries who have greatly influenced the evolution of asset allocation, including Markowitz, Roger Ibbotson, and the late Benoît Mandelbrot. \u003ci\u003eFrontiers of Modern Asset Allocation\u003c\/i\u003e is essential reading for institutional investors, wealth managers, financial planners, and academics. It includes three appendices that put theory into action with technical details for new asset-allocation frameworks, including the next generation of portfolio construction tools, which Dr. Kaplan dubs \"Markowitz 2.0,\" in honor of the father of Modern Portfolio Theory.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989251113189,"sku":"NP9781118115060","price":95.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9781118115060.jpg?v=1761783381","url":"https:\/\/k12savings.com\/products\/frontiers-of-modern-asset-allocation-isbn-9781118115060","provider":"K12savings","version":"1.0","type":"link"}