@article {Downing85, author = {Chris Downing and Ananth Madhavan and Alex Ulitsky and Ajit Singh}, title = {Portfolio Construction and Tail Risk}, volume = {42}, number = {1}, pages = {85--102}, year = {2015}, doi = {10.3905/jpm.2015.42.1.085}, publisher = {Institutional Investor Journals Umbrella}, abstract = {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}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/42/1/85}, eprint = {https://jpm.pm-research.com/content/42/1/85.full.pdf}, journal = {The Journal of Portfolio Management} }