New Book from Morningstar Expert Delivers Innovative Approaches to Asset Allocation

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.

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SOURCE Morningstar, Inc.