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...

The presence of asymmetry in the distribution of financial returns is an important factor that should be considered in optimal portfolio allocation and is also closely related to the recognition and measurement of financial risk. This study adopts a method based on bootstrapping proposed by Lisi...