Portfolio Construction and Tail Risk
研究了在传统投资组合构建中加入尾部风险控制的方法，发现最小波动率叠加策略比直接惩罚极端损失的CVaR方法更有效，且市场上有现成产品，成本低、易操作。
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. <b>TOPICS:</b>Tail risks, portfolio construction