Moving to a multi-period modeling framework helps solve some of the problems of a single-period portfolio optimization, but can produce unexpected results. When modelling asset class and portfolio returns over time investors need to be able to set intelligent assumptions about return distributions, rebalancing and mean reversion, and be able to handle illiquid assets in an intelligent way. A one-size-fits-all approach to portfolio modelling is not suited to addressing the challenges multi-asset investors face today.