TY - JOUR T1 - Portfolio Construction and Tail Risk JF - The Journal of Portfolio Management SP - 85 LP - 102 DO - 10.3905/jpm.2015.42.1.085 VL - 42 IS - 1 AU - Chris Downing AU - Ananth Madhavan AU - Alex Ulitsky AU - Ajit Singh Y1 - 2015/10/31 UR - https://pm-research.com/content/42/1/85.abstract N2 - 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 ER -