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Risk-Based Dynamic Asset Allocation with Extreme Tails and CorrelationsPeng WangUVIMCO Rodney SullivanCFA Institute Yizhi GeGeorgetown 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 Accepted Paper SeriesDate posted: January 14, 2012 ; Last revised: August 10, 2012Suggested Citation |
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