Tail-Risk Parity: The Quest for a Crash-Proof Portfolio

http://blog.alliancebernstein.com/index.php/2013/06/18/tail-risk-parity-the-quest-for-a-crash-proof-portfolio/?utm_source=rss&utm_medium=rss&utm_campaign=tail-risk-parity-the-quest-for-a-crash-proof-portfolio Ashwin Alankar (pictured) and Michael DePalma By any name—Black Swan, three-standard-deviation event or negative tail event—the risk of unexpected heavy losses is a major concern for investors. The question is how best to protect against these low-probability, high-impact market moves. “Well-behaved” vs. “Bad-state” markets As the 2008 crisis and all those before it have illustrated, […]