登入選單

返回Google圖書搜尋

Portfolio Construction and Tail Risk

Chris Downing

出版	SSRN, 2019
URL	http://books.google.com.hk/books?id=ZKH7zgEACAAJ&hl=&source=gbs_api

註釋

In the wake of the financial crisis, investors are increasingly concerned with ways to mitigate extreme losses. We analyze various approaches to enhancing traditional portfolio construction with tail-risk control. Interestingly, we find investors have better managed tail-risk using a minimum-volatility overlay strategy than explicitly penalizing extreme losses via conditional value-at-risk (CVaR). From a practical perspective, this solution can be cheap and easy to implement because it will not result in a rebalancing of the fund, and various minimum-volatility products are readily available on the market.