A Century of Asset Allocation Crash Risk by Mikhail Samonov and Nonna Sorokina

The problem is that people get scared out of their positions at the worst possible time. Which means that the answer lies in what does it take for people to feel secure?

Is it really more assets traded in the public market? 1

Dynamic perception of riskiness of their portfolios is one of the key reasons underlying investors inability to passively hold on to their asset allocation. ...

A significant body of literature discusses Dynamic asset allocation strategy with the focus on drawdown protection, including Perold and Sharpe (1988), Brennan and Xia (2002), Liu et al. (2003), Giamouridis, Sakkas, Tessaromatis (2016), Blitz and van Vliet (2009), Page (2020), to name just a few. However, the strategy is still underappreciated compared to others, such as traditional 60/40, Risk Parity (Chaves et al. (2011), Qian (2011)), Endowment (Jacobs and Kobor (2021), Lo, Matveyev, Zeume, (2021)), Factor Based (Clarke, de Silva, Thorley (2020), Bessler, Taushanov, and Wolff (2021), Kritzman (2021), Ilmanen (2022)), and others (Canner et al. (1994), Campbell et al. (2002)). The debate on the performance and risk of various asset allocation strategies is critical for understanding of investment outcomes (Sharpe, 1992; Shmuel and Stambaugh 1996; Ibbotson, 2010), yet underrepresented in academic literature.