%0 Journal Article %A Peng Wang %A Rodney N. Sullivan %A Yizhi Ge %T Risk-Based Dynamic Asset Allocation with
Extreme Tails and Correlations %D 2012 %R 10.3905/jpm.2012.38.4.026 %J The Journal of Portfolio Management %P 26-42 %V 38 %N 4 %X Wang, Sullivan, and Ge propose a unique dynamic portfolio construction framework that improves portfolio performance by adjusting asset allocation in accordance with a forecast of market risk. They find that modifying asset allocation according to a market risk barometer offers investors the promising opportunity to meaningfully enhance portfolio performance across market environments.TOPICS: Portfolio construction, tail risks, volatility measures %U https://jpm.pm-research.com/content/iijpormgmt/38/4/26.full.pdf