3 Pages Posted: 14 Jan 2012 Last revised: 10 Aug 2012
Date Written: March 5, 2012
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. Available at SSRN: https://ssrn.com/abstract=1984226 or http://dx.doi.org/10.2139/ssrn.1984226