Page 6 also describes
Long-short portfolios take long (or short) positions in assets with favorable (or unfavorable) macroeconomic trends relative to the cross-sectional average, and are designed to be market neutral at all points in time.
Combined with the quote you found, I think there is math behind his approach that isn't shared in the write-up, but sounds alot like the Risk Parity approach, especially Volatility Targeting portfolios, where the overall portfolio volatility is targeted to be some value (10%) for the chosen time horizon settings. Step-wise, targeting the overall portfolio volatility is usually a shell outside the actual estimation and transformation of individual portfolio weights. There is no math anywhere so it can be anyone's guess how the numbers are obtained.
Besides the minimum variance and maximum diversification portfolios, other common portfolio risk optimization techniques include:
Maillard, S., T. Roncalli, andj. Teiletche. “The Properties of Equally
Weighted Risk Contribution Portfolios.” The Journal of Portfolio
Management, Vol. 36, No. 4 (2010), pp. 60-70.
Chaves, D., J. Hsu, F. Li, and O. Shakernia. “Risk Parity Portfolio
versus Other Asset Allocation Heuristic Portfolios.” The Journal of
Investing, Vol. 20, No. 1 (2011), pp. 108-108.
Asness, C., A. Frazzini, and L. Pedersen. “Leverage Aversion and Risk
Parity.” Financial Analysts Journal, Vol. 68, No. 1 (2012), pp. 47-59.
- Volatility targeting portfolio
Busse,J. “Volatility Timing in Mutual Funds: Evidence from Daily
Returns.” Review of Financial Studies, Vol. 12, No. 5 (1999), pp.
Collie, R., M. Sylvanus, and M. Thomas. “Volatility- Responsive Asset
Allocation.” White paper, Russell Investments,
Butler, A., and M. Philbrick. “Volatility Management for Better
Absolute and Risk-Adjusted Performance.” White paper, Macquarie
Private Wealth Inc., 2012.
Albeverio, S., V. Steblovskaya, and K. Wallbaum. “Investment
Instruments With Volatility Target Mechanism.” Quantitative Finance,
Vol. 13, No. 10 (2013), pp. 1519-1528.