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...

We present several active strategies for combining value and momentum strategies in a tactical asset allocation (TAA) framework. We refine the basic yield approach to valuation by standardizing the value signal using the Z-score. Such standardization not only enables us to directly compare...

The authors build on traditional mean-variance optimization with a quantitative framework for combining the best of science and judgment in selecting an asset allocation for long horizon investors such as endowments. The novelty of their approach lies in its ability to balance the desire for...

We propose a model of portfolio selection that adjusts an investors' portfolio allocation in accordance with changing market liquidity environments and market conditions. We found that market liquidity provides a useful “leading indicator” in dynamic asset allocation. Specifically, market...