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Non-normality of Market Returns: A framework for asset allocation decision making. In our latest research, we explore the non-normality of market returns, as well as their potential impact on portfolio efficiency and the asset allocation process. We find that extreme negative events are observed with much higher frequency than current risk frameworks allow for. As a result, we argue that traditional asset allocation frameworks— which are based on assumptions of normality in asset returns—can significantly understate portfolio downside risk. However, using advanced statistical methods, we believe risk frameworks can be constructed to better incorporate and account for many types of non-normality.
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