Turning Tail Risks into Tailwinds
比较多种风险模型管理多资产组合，发现考虑尾部风险能减少负偏态和大幅损失，极值理论有助于配置防御性策略。
This study compares a broad range of risk models for managing multi-asset portfolios. The investment universe is extended to a range of systematic strategies with varying risk and return profiles. Focusing on risk parity portfolios, the authors show that considering tail risks can successfully reduce negative asymmetry and sharp losses. Extreme risk theory is of particular help in finding the right allocation to defensive systematic strategies in the portfolio. <b>TOPICS:</b>Portfolio construction, VAR and use of alternative risk measures of trading risk, tail risks <b>Key Findings</b> ▪ This study compares a broad range of risk models for managing multi-asset portfolios. ▪ The investment universe is extended to a range of systematic strategies with varying risk and return profiles. ▪ Focusing on risk parity portfolios, the authors show that considering tail risks can successfully reduce negative asymmetry and sharp losses.