Risk-Based Dynamic Asset Allocation with Extreme Tails and Correlations

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

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Year of publication:	2019
Authors:	Wang, Peng
Other Persons:	Sullivan, Rodney N (contributor) ; Ge, Yizhi (contributor)
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Korrelation \| Correlation \| Volatilität \| Volatility \| Kapitaleinkommen \| Capital income \| Ausreißer \| Outliers
Description of contents:	Abstract [papers.ssrn.com] ; Abstract [doi.org]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journalof Portfolio Management, Vol. 38, No. 4, 2012 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 5, 2012 erstellt Volltext nicht verfügbar
Other identifiers:	10.2139/ssrn.1984226 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012905756