Asset Allocation Fallacies,
Challenges and Solutions

Academics and practitioners have made great strides in applying modern portfolio theory to structure efficient, real-world portfolios. Yet many crucial challenges still remain.

In his presentation, “Asset Allocation: Fallacies, Challenges, and Solutions”, Mark Kritzman, CEO of Windham Capital Management, shares insights from his new book and reviews many common misconceptions about asset allocation.

During this webinar Mark will discuss a collection of stubbornly persistent fallacies including the notion that asset allocation explains more than 90 percent of performance, that time diversifies risk, that optimization is hypersensitive to estimation error, and that factors provide greater diversification than assets.

He will also show how to construct palatable portfolios without resorting to arbitrary constraints, how to deal with estimation error, and how to use regime forecasts to dynamically adjust allocations.