TY - JOUR T1 - Risk-Based Dynamic Asset Allocation with<br/>Extreme Tails and Correlations JF - The Journal of Portfolio Management SP - 26 LP - 42 DO - 10.3905/jpm.2012.38.4.026 VL - 38 IS - 4 AU - Peng Wang AU - Rodney N. Sullivan AU - Yizhi Ge Y1 - 2012/07/31 UR - https://pm-research.com/content/38/4/26.abstract N2 - 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.TOPICS: Portfolio construction, tail risks, volatility measures ER -