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Using a Z-score approach to combine value and momentum in tactical asset allocation

Wang, Peng; Kochard, Larry - In: The journal of wealth management 15 (2012/13) 1, pp. 52-71

Persistent link: https://www.econbiz.de/10009551723

Low-volatility cycles : the influence of valuation and momentum on low-volatility portfolios

Garcia-Feijóo, Luis; Kochard, Lawrence; Sullivan, Rodney N. - In: Financial analysts' journal : FAJ 71 (2015) 3, pp. 47-60

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Liquidity-driven dynamic asset allocation

Xiong, James X.; Sullivan, Rodney N.; Wang, Peng - In: The journal of portfolio management : a publication of … 39 (2013) 3, pp. 102-111

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Risk-based dynamic asset allocation with extreme tails and correlations

Wang, Peng; Sullivan, Rodney N.; Ge, Yizhi - In: The journal of portfolio management : a publication of … 38 (2012) 4, pp. 26-42

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Redistribution in collective pension arrangements without a sponsor guarantee : hidden versus explicit risk transactions

Yi, Lu; Sanders, Barbara; Bégin, Jean-François - In: Journal of pension economics and finance : JPEF 21 (2022) 2, pp. 260-293

Persistent link: https://www.econbiz.de/10013166078

Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan

Wang, Suxin; Lu, Yi - In: Insurance / Mathematics & economics 89 (2019), pp. 46-62

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Analysis of survivorship life insurance portfolios with stochastic rates of return

Chen, Li; Lin, Luyao; Lu, Yi; Parker, Gary - In: Insurance / Mathematics & economics 75 (2017), pp. 16-31

Persistent link: https://www.econbiz.de/10011740696

Indifference pricing of a life insurance portfolio with risky asset driven by a shot-noise process

Liang, Xiaoqing; Lu, Yi - In: Insurance / Mathematics & economics 77 (2017), pp. 119-132

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Optimal investment strategies and intergenerational risk sharing for target benefit pension plans

Wang, Suxin; Lu, Yi; Sanders, Barbara - In: Insurance / Mathematics & economics 80 (2018), pp. 1-14

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Risk-Based Dynamic Asset Allocation with Extreme Tails and Correlations

Wang, Peng - 2019

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...

Persistent link: https://www.econbiz.de/10012905756