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Article

Portfolio Construction and Tail Risk

Chris Downing, Ananth Madhavan, Alex Ulitsky and Ajit Singh
The Journal of Portfolio Management Fall 2015, 42 (1) 85-102; DOI: https://doi.org/10.3905/jpm.2015.42.1.085
Chris Downing
is a director at BlackRock, Inc. in San Francisco, CA.
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  • For correspondence: chris.downing@blackrock.com
Ananth Madhavan
is global head of iShares research at BlackRock, Inc. in San Francisco, CA.
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  • For correspondence: ananth.madhavan@blackrock.com
Alex Ulitsky
is a director at BlackRock, Inc. in San Francisco, CA.
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  • For correspondence: alex.ulitsky@blackrock.com
Ajit Singh
is chief risk officer of the United Nations UNJSPF/Investments in New York, NY.
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  • For correspondence: asingh@unims.org
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Article Information

vol. 42 no. 1 85-102
DOI 
https://doi.org/10.3905/jpm.2015.42.1.085

Published By 
Pageant Media Ltd
Print ISSN 
0095-4918
Online ISSN 
2168-8656
History 
  • Published online October 31, 2015.

Copyright & Usage 
© 2015 Pageant Media Ltd

Author Information

  1. Chris Downing
    1. is a director at BlackRock, Inc. in San Francisco, CA. (chris.downing{at}blackrock.com)
  2. Ananth Madhavan
    1. is global head of iShares research at BlackRock, Inc. in San Francisco, CA. (ananth.madhavan{at}blackrock.com)
  3. Alex Ulitsky
    1. is a director at BlackRock, Inc. in San Francisco, CA. (alex.ulitsky{at}blackrock.com)
  4. Ajit Singh
    1. is chief risk officer of the United Nations UNJSPF/Investments in New York, NY. (asingh{at}unims.org)
  1. To order reprints of this article, please contact Dewey Palmieri at dpalmieri{at}iijournals.com or 212-224-3675.
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The Journal of Portfolio Management: 42 (1)
The Journal of Portfolio Management
Vol. 42, Issue 1
Fall 2015
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Portfolio Construction and Tail Risk
Chris Downing, Ananth Madhavan, Alex Ulitsky, Ajit Singh
The Journal of Portfolio Management Oct 2015, 42 (1) 85-102; DOI: 10.3905/jpm.2015.42.1.085

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Portfolio Construction and Tail Risk
Chris Downing, Ananth Madhavan, Alex Ulitsky, Ajit Singh
The Journal of Portfolio Management Oct 2015, 42 (1) 85-102; DOI: 10.3905/jpm.2015.42.1.085
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  • Article
    • Abstract
    • MEASURING TAIL RISK
    • PORTFOLIO CONSTRUCTION WITH TAIL-RISK CONTROL
    • Simulations
    • SECURITY-LEVEL ANALYSIS
    • PRACTICAL APPROACHES TO TAIL-RISK MITIGATION
    • CONCLUSIONS
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

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