RT Journal Article SR Electronic T1 Turning Tail Risks into Tailwinds JF The Journal of Portfolio Management FD Institutional Investor Journals SP jpm.2021.1.205 DO 10.3905/jpm.2021.1.205 A1 Jérôme Gava A1 Francisco Guevara A1 Julien Turc YR 2021 UL https://pm-research.com/content/early/2021/01/18/jpm.2021.1.205.abstract AB This study compares a broad range of risk models for managing multi-asset portfolios. The investment universe is extended to a range of systematic strategies with varying risk and return profiles. Focusing on risk parity portfolios, the authors show that considering tail risks can successfully reduce negative asymmetry and sharp losses. Extreme risk theory is of particular help in finding the right allocation to defensive systematic strategies in the portfolio.TOPICS: Portfolio construction, risk management, VAR and use of alternative risk measures of trading risk, tail risksKey Findings▪ This study compares a broad range of risk models for managing multi-asset portfolios.▪ The investment universe is extended to a range of systematic strategies with varying risk and return profiles.▪ Focusing on risk parity portfolios, the authors show that considering tail risks can successfully reduce negative asymmetry and sharp losses.