This paper proposes a unique dynamic portfolio construction framework that improves portfolio performance by adjusting asset allocation in accordance with a forecast market risk.
It finds that modifying asset allocation to the market risk barometer offers investors the “promising opportunity” to meaningfully enhance portfolio performance across market environments.
To access the paper click below
Risk-based dynamic asset allocation with extreme tails and correlations
dynamic asset allocation, Georgetown University Investment Office, Peng Wang, Rodney Sullivan, tail risk
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