[PDF][PDF] Beyond risk parity

V Bhansali - Journal of Investing, 2011 - longtailalpha.com
Beyond Risk Parity Page 1 Beyond Risk Parity Vineer Bhansali, Ph.D.* Spring 2011 Abstract
Risk parity is an approach to portfolio construction that focuses on the balance of risks within a …

[HTML][HTML] Hedging and Evaluating Tail Risks via Two Novel Options Based on Type II Extreme Value Distribution

H Lin, L Liu, Z Zhang - Symmetry, 2021 - mdpi.com
Tail risk is an important financial issue today, but directly hedging tail risks with an ad hoc
option is still an unresolved problem since it is not easy to specify a suitable and asymmetric …

Tail-risk hedging, dividend chasing, and investment constraints: The use of exchange-traded notes by mutual funds

D Rakowski, SE Shirley, JR Stark - Journal of Empirical Finance, 2017 - Elsevier
Our study examines mutual fund demand for a newly designed security, exchange-traded
notes (ETNs). We find strong evidence that mutual fund long positions in ETNs significantly …

Tail-risk protection trading strategies

N Packham, J Papenbrock, P Schwendner… - Quantitative …, 2017 - Taylor & Francis
Starting from well-known empirical stylized facts of financial time series, we develop
dynamic portfolio protection trading strategies based on econometric methods. As a criterion …

[HTML][HTML] Tail Risk Signal Detection through a Novel EGB2 Option Pricing Model

H Lin, L Liu, Z Zhang - Mathematics, 2023 - mdpi.com
Connecting derivative pricing with tail risk management has become urgent for financial
practice and academia. This paper proposes a novel option pricing model based on the …

[PDF][PDF] Monetization Matters: Active Tail Risk Management and the Great Virus Crisis

V Bhansali, L Chang, J Holdom… - The Journal of Portfolio …, 2020 - longtailalpha.com
When considering actively managed tail risk hedging strategies, whether on the “left” or the
“right” side, we believe investors are faced with two potential benefits. First, a portfolio with …

The different faces of volatility exposure in portfolio management

JM Hill - The Journal of Alternative Investments, 2013 - search.proquest.com
This article analyzes the different forms and features of equity volatility exposure and
reviews the merits of incorporating equity volatility exposure in portfolio management. The …

Tail Risk Hedging Performance: Measuring What Counts

L Chang, J Holdom, V Bhansali - Available at SSRN 3962552, 2021 - papers.ssrn.com
We discuss the importance of using proper metrics for measuring the historical performance
of tail risk hedging portfolios in particular, and for any strategy with levered payoffs in …

Leveraging defence into offence: enhancing absolute and risk-adjusted equity returns with tail risk management overlays

B Schwalbach, C Auret - Investment Analysts Journal, 2023 - Taylor & Francis
Research has shown that tail risk hedging using explicit option purchases and trend-
following effectively mitigate equity tail risk. This paper demonstrates that these defensive …

The value of tail risk hedging in defined contribution plans: what does history tell us

AK Basu, ME Drew - Journal of Pension Economics & Finance, 2015 - cambridge.org
Hedging against tail events in equity markets has been forcefully advocated in the aftermath
of recent global financial crisis. Whether this is beneficial to long horizon investors like …