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 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

Accepted Paper Series





Download This Paper

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)
University of Virginia (UVA) - Investment Management Company ( email )
Post Office Box 400215
Charlottesville, VA 22904-4215
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


Paper statistics
Abstract Views: 6,927
Downloads: 1,779
Download Rank: 4,358

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo4 in 0.469 seconds