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...

Using harmonized wealth data and a novel decomposition approach in this literature, we show that cohort effects exist in the income profiles of asset and debt portfolios for a sample of European countries, the U.S. and Canada. We find that the association between household wealth portfolios at...