Kaplan Frontiers of Modern Asset Allocation

1. Auflage 2011
ISBN: 978-1-118-17299-5
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 416 Seiten, E-Book

Reihe: Wiley Finance Editions

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."

Autoren/Hrsg.

Kaplan, Paul D.

Weitere Mitwirkende

Siegel, Laurence B.

Inhaltsverzeichnis

Foreword xi
Introduction xxiii
A Note on Expected Return and Geometric Mean xxv
Acknowledgments xxxi
PART ONE Equities
CHAPTER 1 Purity of Purpose: How Style-Pure Indexes ProvideUseful Insights 7
CHAPTER 2 Investing in Europe with Style: Why Investors inEurope Would Benefit From Constructing Portfolios Through the Prismof Style 15
CHAPTER 3 Why Fundamental Indexation Might--or MightNot--Work 21
CHAPTER 4 The Fundamental Debate: Two Experts Square Off on theBig Issues Surrounding Fundamentally Weighted Indexes 39
CHAPTER 5 Collared Weighting: A Hybrid Approach to Indexing51
CHAPTER 6 Yield to Investors? A Practical Approach to BuildingDividend Indexes 63
CHAPTER 7 Holdings-Based and Returns-Based Style Models 71
CHAPTER 8 Estimates of Small Stock Betas Are Much Too Low103
CHAPTER 9 A Macroeconomic Model of the Equity Risk Premium117
PART TWO Fixed Income, Real Estate, andAlternatives
CHAPTER 10 Good and Bad Monetary Economics, and Why InvestorsNeed to Know the Difference 133
CHAPTER 11 Inflation, Gilt Yields, and Economic Policy 143
CHAPTER 12 Reverse Mean-Variance Optimization for Real EstateAsset-Allocation Parameters 147
CHAPTER 13 The Long and Short of Commodity Indexes 157
CHAPTER 14 Less Alpha and More Beta Than Meets the Eye 175
CHAPTER 15 Venture Capital and its Role in Strategic AssetAllocation 179
PART THREE Crashes and Fat Tails
CHAPTER 16 One-and-a-Quarter Centuries of Stock Market Drawdowns193
CHAPTER 17 Stock Market Bubbles and Crashes: A Global Historicaland Economic Perspective 199
CHAPTER 18 De´ ja` Vu All Over Again 211
CHAPTER 19 De´ ja` Vu Around the World 223
CHAPTER 20 Getting a Read on Risk: A Discussion with RogerIbbotson, George Cooper, and Beno^it Mandelbrot on theCrisis and Risk Models 239
PART FOUR Doing Asset Allocation
CHAPTER 21 Does Asset-Allocation Policy Explain 40 Percent, 90Percent, or 100 Percent of Performance? 253
CHAPTER 22 Asset-Allocation Models Using the Markowitz Approach267
CHAPTER 23 Asset Allocation with Annuities for Retirement IncomeManagement 275
CHAPTER 24 MPT Put Through the Wringer: A Debate Between StevenFox and Michael Falk 303
CHAPTER 25 Updating Monte Carlo Simulation for the Twenty-FirstCentury 311
CHAPTER 26 Markowitz 2.0 325
CHAPTER 27 What Does Harry Markowitz Think? A Discussion withHarry Markowitz and Sam Savage 351
Afterword 367
About the Author 375
Index 377

Über Autor(innen)

Paul D. Kaplan 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 Financial Analysts Journal, the Journal of Portfolio Management, the Journal of Wealth Management, the Journal of Investing, the Journal of Performance Measurement, the Journal of Indexes, and the Handbook of Equity Style Management. He received the 2008 Graham and Dodd Award and won a Graham and Dodd Award of Excellence in 2000.