Some 66 years ago, Harry Markowitz created the field of portfolio theory with his mean-variance model of portfolio selection. Markowitz optimization became a standard approach to asset allocation. However, the Markowitz model has limitations in terms of its assumptions regarding asset class returns, and in terms of its measures of risk and reward.
In this presentation, Dr. Paul D. Kaplan will discuss a new portfolio construction paradigm that he co-developed that overcomes these limitations by applying advances in return distribution modeling, alternative measures of risk and reward, and optimization technology. Since this advanced model is a generalization of Markowitz's original model, Dr. Kaplan and his co-developer call it "Markowitz 2.0."
Dr Paul D. Kaplan, Ph.D., CFA
Director of Research, Morningstar Canada
Dr. Paul D. Kaplan conducts research on asset allocation, retirement income planning, portfolio construction, risk measurement, and index methodologies. He has led the development of many of the quantitative methodologies behind Morningstar's fund analysis, indexes, advisor tools and other services. He previously held similar roles for Morningstar in Europe and in the United States.
Before joining Morningstar in 1999, Dr Kaplan was a vice president of Ibbotson Associates and served as the firm's chief economist and director of research (Morningstar acquired Ibbotson in 2006). Prior to that, he served on the economics faculty of Northwestern University where he taught international finance and statistics. He holds a master's degree and doctorate in economics from Northwestern University and is a CFA charterholder.