Turbulent financial market periods are characterized by low mean returns, high volatility and often by the disappearance of the diversification effect. Therefore, accurate predictions of financial turbulence can significantly improve the risk-reward-ratio of investment strategies and is...

In this article, the authors present a conceptual framework named 'Adaptive Seriational Risk Parity' (ASRP) to extend Hierarchical Risk Parity (HRP) as an asset allocation heuristic. The first step of HRP (quasi-diagonalization) determining the hierarchy of assets is required for the actual...