Skip to main content

Main menu

  • Latest
  • Issues
    • Published Ahead of Print (PAP)
    • Current Issue
    • Latest Articles
    • Archive
  • About
    • Journal Information
    • Editorial Board
    • About IIJ
  • Information for
    • Advertisers and Sponsors
    • Agents
    • Authors
    • Institutions
  • Events
  • Videos
  • Institutional Investor Journals: Home
    • The Journal of Alternative Investments
    • The Journal of Derivatives
    • The Journal of Fixed Income
    • The Journal of Index Investing
    • The Journal of Investing
    • The Journal of Private Equity
    • The Journal of Retirement
    • The Journal of Structured Finance
    • The Journal of Trading
    • The Journal of Wealth Management
    • Practical Applications
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
  • Visit IIJ on Facebook

User menu

  • Register
  • Subscribe
  • My alerts
  • Log in

Search

  • Advanced search
The Journal of Portfolio Management
  • Institutional Investor Journals: Home
    • The Journal of Alternative Investments
    • The Journal of Derivatives
    • The Journal of Fixed Income
    • The Journal of Index Investing
    • The Journal of Investing
    • The Journal of Private Equity
    • The Journal of Retirement
    • The Journal of Structured Finance
    • The Journal of Trading
    • The Journal of Wealth Management
    • Practical Applications
  • Register
  • Subscribe
  • My alerts
  • Log in
The Journal of Portfolio Management

The Journal of Portfolio Management

Advanced Search

  • Latest
  • Issues
    • Published Ahead of Print (PAP)
    • Current Issue
    • Latest Articles
    • Archive
  • About
    • Journal Information
    • Editorial Board
    • About IIJ
  • Information for
    • Advertisers and Sponsors
    • Agents
    • Authors
    • Institutions
  • Events
  • Videos
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
  • Visit IIJ on Facebook
Article

Offensive Risk Management II: The Case for
Active Tail Hedging

Vineer Bhansali and Joshua M. Davis
The Journal of Portfolio Management Fall 2010, 37 (1) 78-91; DOI: https://doi.org/10.3905/jpm.2010.37.1.078
Vineer Bhansali
is a managing director and portfolio manager at PIMCO in Newport Beach, CA. bhansali@pimco.com
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Joshua M. Davis
is a vice president and portfolio manager at PIMCO in Newport Beach, CA. josh.davis@pimco.com
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF
Loading

This article requires a subscription to view the full text. If you have a subscription you may use the login form below to view the article. Access to this article can also be purchased.

Abstract

Bhansali and Davis define offensive risk management as the use of tail hedges in a portfolio as a way for investors to allocate more capital to risky assets and simultaneously reduce the risk of large investment losses. If the hedge is purchased at the right price, the portfolio with tail risk hedges may have a more attractive risk–return profile than a buy-and-hold portfolio. The authors show, in the context of the 80-year history of the Standard & Poor’s Index, that intuitive rules of thumb for monetization can be justified and that the active management of tail hedges is consistent with the cyclical behavior of the economy and the markets.

  • © 2010 Pageant Media Ltd
View Full Text

Log in using your username and password

Forgot your user name or password?

Purchase access

You may purchase access to this article. This will require you to create an account if you don't already have one.
PreviousNext
Back to top

In this issue

The Journal of Portfolio Management: 37 (1)
The Journal of Portfolio Management
Vol. 37, Issue 1
Fall 2010
  • Table of Contents
  • Index by author
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.
Offensive Risk Management II: The Case for Active Tail Hedging
(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.
Citation Tools
Offensive Risk Management II: The Case for
Active Tail Hedging
Vineer Bhansali, Joshua M. Davis
The Journal of Portfolio Management Oct 2010, 37 (1) 78-91; DOI: 10.3905/jpm.2010.37.1.078

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
Offensive Risk Management II: The Case for
Active Tail Hedging
Vineer Bhansali, Joshua M. Davis
The Journal of Portfolio Management Oct 2010, 37 (1) 78-91; DOI: 10.3905/jpm.2010.37.1.078
Permalink:
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • IMPLIED VOLATILITY MODEL TO ESTIMATE HISTORICAL VOLATILITY SURFACES
    • MONETIZATION RULES
    • OFFENSIVE VERSUS DEFENSIVE TAIL RISK MANAGEMENT STRATEGIES
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF

Cited By...

  • Tail-Risk Management for Retirement Investments
  • Beyond Risk Parity
  • Scopus (7)
  • Google Scholar

More in this TOC Section

  • Market-Driven Scenarios: An Approach for Plausible Scenario Construction
  • Predicting Stock Market Crashes in China
  • Style Investing in Fixed Income
Show more Article

Similar Articles

II Journals
1120 Avenue of the Americas
New York, NY 10036

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
  • Visit IIJ on Facebook

ABOUT US

  • Home
  • About IIJ
  • Nobel Laureates
  • Events
  • Awards
  • Careers

OUR OFFERINGS

  • IIJ Investment Guides
  • Permissions and Reprints
  • Digital Archives

GET INVOLVED

  • Advertise or sponsor
  • Publish your work
  • Subscribe
  • Agents

CUSTOMER SERVICE

  • Contact Us
  • FAQ's
  • Feedback
  • Publishing Schedule 2017/2018
  • Code of Ethics
  • Subscribe Now
  • Log In

© 2018 Pageant Media Ltd | All Rights Reserved | ISSN: 0095-4918 | E-ISSN: 2168-8656

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