RT Journal Article SR Electronic T1 Extreme Correlations and Optimizing for Stress JF The Journal of Portfolio Management FD Institutional Investor Journals SP 71 OP 75 DO 10.3905/jpm.2015.41.2.071 VO 41 IS 2 A1 Wesley Phoa YR 2015 UL https://pm-research.com/content/41/2/71.abstract AB Asset correlations often change significantly during periods of financial market dislocation. This article describes a rigorous way of deriving a covariance matrix for use in stressed market environments. This lets investors apply standard mean–variance techniques to analyze investment strategy under extreme conditions. Applications include risk management and constructing optimally defensive portfolios for stressed markets. The method is based on recent advances in multivariate extreme-value theory.TOPICS: Portfolio theory, volatility measures, in portfolio management