Disagreement over the importance of asset allocation policy stems from asking different
questions. We used balanced mutual fund and pension fund data to answer the three relevant …

Paul D. Kaplan is chief investment officer of Morningstar Associates, LLC, where he is
responsible for the development and management of the investment methodology for Morningstar’…

Some proponents of fundamental indexation claim that the strategy is based on a new theory
in which market prices of stocks deviate from fair values. A key assumption in this approach …

This chapter explains two main approaches to style analysis: holdings‐based and returns‐based.
Holdings‐based style analysis is a bottom‐up approach in which the characteristics of …

This chapter explains that venture capital has become an important asset class in many long‐term
strategic portfolios. Portfolio managers and analysts should be familiar with the …

The process of estimating an industry cost of capital is complicated by the fact that many
firms operate in multiple industries. Conglomerates are typically excluded from a pure-play …

The authors adjust estimates of systematic risk, betas, for cross-autocorrelations in security
returns. They show that substantial positive adjustments to beta are necessary for small firms. …

Lummer and Siegel [1993] explored GSCIÆ collateralized futures as an asset that could be
held along with stocks, bonds, and cash in a diversified portfolio. They found that a …

Classical and behavioral finance are often seen as being at odds, but the idea of “popularity”
has been introduced as a way of reconciling the two approaches. Investors like or dislike …

This chapter presents the fact that Harry Markowitz developed a theory that became a foundation
of financial economics and revolutionized investment practice. He identified the trade‐…