Risk-Based Dynamic Asset Allocation with Extreme Tails and Correlations

摘要

Peng Wang, Rodney N. Sullivan, and Yizhi GernWang, Sullivan, and Ge propose a unique dynamic portfolio construction framework that improves portfolio performance by adjusting asset allocation in accordance with a forecast of market risk.They find that modifying asset allocation according to a market risk barometer offers investors the promising opportunity to meaningfully enhance portfolio performance across market environments.