PT  - JOURNAL ARTICLE
AU  - Chris Downing
AU  - Ananth Madhavan
AU  - Alex Ulitsky
AU  - Ajit Singh
TI  - Portfolio Construction and Tail Risk
AID  - 10.3905/jpm.2015.42.1.085
DP  - 2015 Oct 31
TA  - The Journal of Portfolio Management
PG  - 85--102
VI  - 42
IP  - 1
4099  - https://pm-research.com/content/42/1/85.short
4100  - https://pm-research.com/content/42/1/85.full
AB  - In the wake of the financial crisis, investors are increasingly concerned with ways to mitigate extreme losses. The authors analyze various approaches to enhancing traditional portfolio construction with tail-risk control. They find investors have better managed tail risk using a minimum-volatility overlay strategy than by explicitly penalizing extreme losses via conditional value at risk (CVaR). Various minimum-volatility products are readily available on the market, suggesting a cheap and easy solution for tail-risk control.TOPICS: Tail risks, portfolio construction