Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Portfolio Management
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Portfolio Management

The Journal of Portfolio Management

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

Right Tail Hedging: Managing Risk When Markets Melt Up

Vineer Bhansali
The Journal of Portfolio Management Summer 2018, 44 (7) 55-62; DOI: https://doi.org/10.3905/jpm.2018.44.7.055
Vineer Bhansali
is the chief investment officer at LongTail Alpha, LLC, in Newport Beach, CA
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
EMEA: +44 0207 139 1600

Abstract

Popular academic and practitioner lore claims that buying options, whether puts or calls, is a negative expected return investment and hence should not be undertaken by rational, risk-neutral investors. However, real-world considerations such as the possibility of large jumps and imitative behavior of traders in both bull and bear markets can reverse this conclusion. In particular, the potential for positive economic shocks such as those observed since the 2016 U.S. election may make call options–based strategies superior to buy and hold strategies. In this article, the author extends his work published in The Journal of Portfolio Management in 2007 on left tail or downside tail risk hedging to address upside hedging, which has become increasingly relevant in an environment of low yields, elevated asset prices, low credit spreads, indexation, and multidecadal lows in call option prices.

TOPICS: Portfolio construction, options, tail risks, derivatives

  • © 2018 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Portfolio Management: 44 (7)
The Journal of Portfolio Management
Vol. 44, Issue 7
Summer 2018
  • Table of Contents
  • Index by author
  • Complete Issue (PDF)
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Portfolio Management.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Right Tail Hedging: Managing Risk When Markets Melt Up
(Your Name) has sent you a message from The Journal of Portfolio Management
(Your Name) thought you would like to see the The Journal of Portfolio Management web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Right Tail Hedging: Managing Risk When Markets Melt Up
Vineer Bhansali
The Journal of Portfolio Management Jul 2018, 44 (7) 55-62; DOI: 10.3905/jpm.2018.44.7.055

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Right Tail Hedging: Managing Risk When Markets Melt Up
Vineer Bhansali
The Journal of Portfolio Management Jul 2018, 44 (7) 55-62; DOI: 10.3905/jpm.2018.44.7.055
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • MOTIVATING NEED FOR UPSIDE TAIL RISK HEDGING
    • DO CALL OPTIONS COST TOO MUCH?
    • CONCLUSION
    • ENDNOTE
    • REFERENCES
  • Info & Metrics
  • PDF

Similar Articles

Cited By...

  • Monetization Matters: Active Tail Risk Management and the Great Virus Crisis
  • Profitability Analysis of Select Private Equity Funds in India
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • News
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Sign In
  • Update your profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 0095-4918 | E-ISSN: 2168-8656

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies