The next MPT

Bob Veres | Inside Information | 01 February 2010

Ever since the market meltdown of 2008, advisers have been questioning whether Modern Portfolio Theory might be outdated and ineffective. At a recent conference, Michael Kitces offered the best analysis yet of what's right and wrong with MPT, how we can improve it, and what tools we'll need to create post-MPT analytics and portfolios.

He started by analysing the differences between MPT as formulated by Harry Markowitz and what many advisers think of as MPT today.

Markowitz, in his 1952 paper in the Journal of...