分享给大家，一篇比较新的关于组合策略的文章。作者里面有FrankJ.Fabozzi, 偏向实际应用。分享给大家欣赏。

Abstract
Risk management through marginal rebalancing is important for institutional investors due to the size of their portfolios. We consider the problem of improving marginally portfolio VaR and CVaR through amarginal change in the portfolio return characteristics. We study the relative significance of standard deviation, mean, tail thickness, and skewness in aparametric setting assuming a Student’s tora stable distribution for portfolio returns. We also carry out an empirical study with the constituents of DAX30,CAC40,and SMI .Our analysis leads to practical implications for institutional in vestors and regulators.