Tail risk protection is a mantra in portfolio allocation. A common method in this context is the NMFRB allocation. Here, we extend it to drawdown risk measures and show that the proposed portfolios compete with machine learning-based portfolios such as Hierarchical Risk Parity (HRP) and...

We analyze optimal monetary policy and its implications for asset prices, when aggregate demand has inertia and responds to asset prices with a lag. If there is a negative output gap, the central bank optimally overshoots aggregate asset prices (asset prices are initially pushed above their...