the growth-volatility frontier of the economy. I define the efficiency of the actual sectoral allocation as the distance …

worthwhile to combine risk factors in a dynamic manner, in a process that we call Dynamic Risk Allocation (DRA). Building a DRA … process.Our main finding is that risk factor allocation largely replaces traditional global equity and bond market premiums as … well as allocation to hedge funds (in expected utility maximization sense). Hence we question the economic validity of the …