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...

What determines partisan portfolio allocation in African democracies? Despite the vast literature on government formation in Europe and Latin America, there have been no studies of partisan portfolio allocation in Africa. Although coalition governments are increasingly common in Africa, most...