PT - JOURNAL ARTICLE AU - Peng Wang AU - Rodney N. Sullivan AU - Yizhi Ge TI - Risk-Based Dynamic Asset Allocation with<br/>Extreme Tails and Correlations AID - 10.3905/jpm.2012.38.4.026 DP - 2012 Jul 31 TA - The Journal of Portfolio Management PG - 26--42 VI - 38 IP - 4 4099 - https://pm-research.com/content/38/4/26.short 4100 - https://pm-research.com/content/38/4/26.full 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