Risk-Based Dynamic Asset Allocation with Extreme Tails and Correlations
TIAA-CREF Institute - Covariance Capital Management
Rodney N Sullivan
AQR Capital Management
March 5, 2012
Journalof Portfolio Management, Vol. 38, No. 4, 2012
We propose a unique dynamic portfolio construction framework that improves portfolio performance by adjusting asset allocation in accordance with a forecast of market risk. We find that modifying asset allocation according to our market risk barometer offers investors the promising opportunity to meaningfully enhance portfolio performance across market environments.
Number of Pages in PDF File: 3
Keywords: Extreme Tail Risk, CVaR Optimization, Regime Change, Markov Switching Model, Dynamic Asset Allocation, TAA
Date posted: January 14, 2012 ; Last revised: August 10, 2012
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