The asset allocation decision is an important one for investment managers of pension plans, mutual funds and other financial institutions. In recent years many institutions have increasingly passed this decision down to the individual investor. We examine the extent to which modern finance provides useful tools to assist the investor in this decision. Some recent advances which lead to new approaches to this problem use Monte Carlo methods. In particular we will discuss how one of these approaches can be implemented and discuss some preliminary work that uses a quasi Monte Carlo approach.