Yizhi Ge

Georgetown University

Washington, DC 20057

United States

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Scholarly Papers (1)

1.

Risk-Based Dynamic Asset Allocation with Extreme Tails and Correlations

Journalof Portfolio Management, Vol. 38, No. 4, 2012, https://doi.org/10.3905/jpm.2012.38.4.026
Posted: 21 May 2019
TIAA Institute - Covariance Capital Management, AQR Capital Management, LLC and Georgetown University

Abstract:

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Extreme Tail Risk, CVaR Optimization, Regime Change, Markov Switching Model, Dynamic Asset Allocation, TAA