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Sponsored Artificial Intelligence: A Modern Approach, Global Edition Artificial Intelligence: A Modern Approach, Global Edition

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Veraphong Chutipat

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Open access Sep 2026

Robustness of CVaR-Minimizing Dynamic Allocation: Evidence from Multi-Asset Portfolios Through 2025

Traditional risk parity approaches rely largely on volatility measures, which may not fully capture asymmetric risk profiles. This study examines a dynamic allocation approach that minimizes portfolio-level Conditional Value-at-Risk (CVaR). The CVaR-Minimizing Dynamic Allocation (CVaR-DA) approach is intended to manage...

Veraphong Chutipat, Peerapat Wattanasin, Tanpat Kraiwanit · 0 citations

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