Stable Expected Shortfall Tactical Asset Allocation Framework
December 9, 2011 - Volatility Effects
Is risk avoidance by itself a good tactical asset allocation strategy? In their November 2011 paper entitled “A Risk Based Approach to Tactical Asset Allocation”, Dario Brandolini and Stefano Colucci propose a purely risk-based asset allocation framework designed to buffer effects of volatility clusters. Their critical allocation variable is expected shortfall, estimated each week to adjust the… Keep Reading