Markowitz 2.0: Asset Allocation for the 21st Century

This podcast features a seminar on financial economics and econometrics, specifically focusing on asset allocation and modern portfolio theory. Dr. Paul Kaplan from Morningstar Europe discusses the evolution of portfolio optimization since Harry Markowitz's initial work, highlighting the limitations of traditional mean-variance analysis, especially in the context of financial crises and "black swan" events. He introduces "Markowitz 2.0," an approach using scenario analysis to model returns and risks, incorporating fat-tail distributions and alternative risk measures like conditional value at risk. The presentation includes a Q&A session where attendees discuss correlation changes over time, capital allocation lines, and the interpretation of scenarios, with Dr. Kaplan emphasizing the blend of quantitative models and judgment in asset allocation.