Abstract

http://ssrn.com/abstract=1984226
 


 



Risk-Based Dynamic Asset Allocation with Extreme Tails and Correlations


Peng Wang


TIAA Institute - Covariance Capital Management

Rodney N Sullivan


AQR Capital Management

Yizhi Ge


Georgetown University

March 5, 2012

Journalof Portfolio Management, Vol. 38, No. 4, 2012

Abstract:     
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


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Date posted: January 14, 2012 ; Last revised: August 10, 2012

Suggested Citation

Wang, Peng and Sullivan, Rodney N and Ge, Yizhi, Risk-Based Dynamic Asset Allocation with Extreme Tails and Correlations (March 5, 2012). Journalof Portfolio Management, Vol. 38, No. 4, 2012. Available at SSRN: http://ssrn.com/abstract=1984226 or http://dx.doi.org/10.2139/ssrn.1984226

Contact Information

Peng Wang (Contact Author)
TIAA Institute - Covariance Capital Management ( email )
1221 McKinney St. Suite 1800
Houston, TX 77010
United States
Rodney N Sullivan
AQR Capital Management ( email )
Two Greenwich Plza
Greenwich, CT 06830
United States
HOME PAGE: http://www.aqr.com/Home.aspx

Yizhi Ge
Georgetown University ( email )
Washington, DC 20057
United States
Feedback to SSRN


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