Abstract

http://ssrn.com/abstract=1984226
 


 



Risk-Based Dynamic Asset Allocation with Extreme Tails and Correlations


Peng Wang


University of Virginia - Investment Management Company

Rodney Sullivan


CFA Institute

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 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)
University of Virginia (UVA) - Investment Management Company ( email )
Post Office Box 400215
Charlottesville, VA 22904-4215
United States
Rodney Sullivan
CFA Institute ( email )
560 Ray C. Hunt Drive
Charlottesville, VA 22903
United States
Yizhi Ge
Georgetown University ( email )
Washington, DC 20057
United States
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