Risk-Based Dynamic Asset Allocation withExtreme Tails and Correlations
提出一种动态投资组合构建框架，根据市场风险预测调整资产配置，以提升不同市场环境下的组合表现。
Wang, Sullivan, and Ge propose a unique dynamic portfolio construction framework that improves portfolio performance by adjusting asset allocation in accordance with a forecast of market risk. They find that modifying asset allocation according to a market risk barometer offers investors the promising opportunity to meaningfully enhance portfolio performance across market environments. <b>TOPICS:</b>Portfolio construction, tail risks, volatility measures