The Economic Value of Forecasting Left-Tail Risk
研究发现预测偏度能帮助投资者在不大幅牺牲回报的情况下降低尾部风险，尤其能改进低波动策略的表现，对资产配置和风险管理有参考价值。
The authors show that it is possible to reduce tail risk without giving up much return. The key is to forecast <i>forward</i>-looking skewness, which will facilitate the identification of a sweet spot for a mean–variance–skewness investor. In practice, forecasting skewness can help the popular low-volatility strategy to reduce tail risk without lowering the Sharpe ratio. The authors’ findings could improve the usefulness of traditional diversification, which typically lowers variance but also results in skewness loss. <b>TOPICS:</b>Volatility measures, tail risks