RT Journal Article
SR Electronic
T1 Risk-Based Dynamic Asset Allocation with<br/>Extreme Tails and Correlations
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 26
OP 42
DO 10.3905/jpm.2012.38.4.026
VO 38
IS 4
A1 Peng Wang
A1 Rodney N. Sullivan
A1 Yizhi Ge
YR 2012
UL https://pm-research.com/content/38/4/26.abstract
AB 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