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

MoreLess

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

Check Google Scholar |

More access options

In German libraries (KVK)

I need help

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