Part I discusses the book's section on asset allocation. Part II discusses the book's other insights, my critique, and the author's responses.
Historical statistics should not be blindly fed into an optimizer.
Paul D. Kaplan, Ph.D.
The quote above comes from page 273 of Kaplan's Frontiers of Modern Asset Allocation (384 pages, Wiley Finance 2012). This quote captures the spirit of the book, which combines an exhaustive knowledge of quantitative portfolio management with an acute awareness of its limitations. I recommend this book for institutional money managers and quant geeks, especially those who would like to address the limitations of Modern Portfolio Theory. Kaplan is more than qualified for the task: He is the quantitative research director at Morningstar Europe, he serves on the editorial board of the Financial Analysts Journal, and he has a doctorate in economics from Northwestern University. Fortunately for the reader, Kaplan's writing is clear and
Complete Story »