RT Journal Article SR Electronic T1 Portfolio Construction and Tail Risk JF The Journal of Portfolio Management FD Institutional Investor Journals SP 85 OP 102 DO 10.3905/jpm.2015.42.1.085 VO 42 IS 1 A1 Chris Downing A1 Ananth Madhavan A1 Alex Ulitsky A1 Ajit Singh YR 2015 UL https://pm-research.com/content/42/1/85.abstract 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