CHICAGO, Jan. 17, 2012 /PRNewswire/ -- Investment research
and technology have evolved dramatically over the past six decades,
yet many investment professionals have been using the same asset
allocation models during that entire time period. In his new book
being released today, Frontiers of Modern Asset Allocation,
Paul D. Kaplan, director of
quantitative research for Morningstar
Europe, seeks to update investors' approach by exploring the
latest techniques in portfolio optimization and asset
allocation.
For more than 20 years, Kaplan, a leading expert on asset
allocation, has been tackling some of the thorniest issues faced by
professional investors. Frontiers of Modern Asset
Allocation, a collection of Kaplan's articles published by
Wiley & Sons, presents methods for implementing Modern
Portfolio Theory with asset classes such as emerging market
equities, venture capital, and real estate. Most notably, the book
also presents an updated approach to Modern Portfolio Theory, which
can consider measures of risk and reward beyond the commonly used
metrics of standard deviation and expected return. One such measure
is Conditional Value at Risk (CVaR), which better captures
investors' concerns about investment loss. Kaplan also presents
approaches to Modern Portfolio Theory that can take into account
the possibility of extreme market outcomes, both good and bad,
known as "fat-tailed" distributions. This framework is now
available in Morningstar Direct(SM), the company's web-based global
investment analysis platform for institutional investors. In
addition, the book includes Kaplan's contributions to the debate
about fundamental indexation, for which he was awarded the Graham
and Dodd Award in 2008.
"Technology has changed, but the asset allocation models used by
most investment professionals have not," Kaplan said. "New
technology allows us to do so much more with probability
forecasting and optimization, so we need to re-think our reliance
on an asset allocation models that are 60 years old."
Frontiers of Modern Asset Allocation also includes
Kaplan's discussions and debates with industry experts including
Roger Ibbotson, Ph.D., founder of
Ibbotson Associates, professor of finance at Yale School of
Management, and partner at Zebra Capital Management; the late
Benoit Mandelbrot, award-winning mathematician, Yale University professor, and IBM Fellow; and
Harry Markowitz, the father of
Modern Portfolio Theory.
Frontiers of Modern Asset Allocation is now available
wherever books and e-books are sold. For more information, please
visit
http://www.wiley.com/WileyCDA/WileyTitle/productCd-1118115066.html
Notes to Editors:
Frontiers of Modern Asset Allocation: ISBN:
978-1-118-11506-0
US $95.00
About Morningstar, Inc.
Morningstar, Inc. (NASDAQ: MORN) is a leading provider of
independent investment research in North
America, Europe, Australia,
and Asia. The company offers an
extensive line of products and services for individuals, financial
advisors, and institutions. Morningstar provides data on
approximately 330,000 investment offerings, including stocks,
mutual funds, and similar vehicles, along with real-time global
market data on more than 5 million equities, indexes, futures,
options, commodities, and precious metals, in addition to foreign
exchange and Treasury markets. Morningstar also offers investment
management services through its registered investment advisor
subsidiaries and has more than $167
billion in assets under advisement and management as of
Sept. 30, 2011. The company has
operations in 26 countries.
©2012 Morningstar, Inc. All rights reserved.
MORN-P
Media Contact:
Shawn Malayter, 312-696-6050 or
shawn.malayter@morningstar.com
SOURCE Morningstar, Inc.