Risk-Based Dynamic Asset Allocation with Extreme Tails and Correlations
Posted: 21 May 2019 Last revised: 10 Aug 2012
Date Written: March 5, 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.
Keywords: Extreme Tail Risk, CVaR Optimization, Regime Change, Markov Switching Model, Dynamic Asset Allocation, TAA
Suggested Citation: 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, https://doi.org/10.3905/jpm.2012.38.4.026, Available at SSRN: https://ssrn.com/abstract=1984226 or http://dx.doi.org/10.2139/ssrn.1984226
Rodney N Sullivan
University of Virginia, Darden Graduate School of Business ( email )
P.O. Box 6550
Charlottesville, VA 22906-6550
United States
434-243-0644 (Phone)
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