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- Tail_risk_parity abstract "Tail risk parity is an extension of Risk parity concept that takes into account the behavior of the portfolio components during Tail Risk events. The goal of Tail Risk Parity approach is to protect investment portfolios at the times of economic crises and reduce the cost of such protection during normal market conditions. In Tail Risk Parity framework risk is defined as expected tail loss. Traditional portfolio diversification relies on correlation between assets and asset classes, but these correlations are not constant. Because correlation between assets and Asset Classes increases during Tail Risk events and can go to 100%, Asset Classes can be divided into buckets that behave differently under market stress conditions, while assets in each bucket behave similarly. During Tail Risk events asset prices can fall significantly creating deep portfolio drawdowns. Asset classes in each Tail Risk bucket fall simultaneously during Tail Risk events and diversification of capital within buckets is not working because periods of negative performance of portfolio components are overlapped. Diversification across Tail Risk buckets can provide benefit in the form of smaller portfolio drawdowns and reduce the need for tail risk protection.".
- Tail_risk_parity wikiPageID "42242352".
- Tail_risk_parity wikiPageRevisionID "605550575".
- Tail_risk_parity subject Category:Financial_markets.
- Tail_risk_parity subject Category:Investment.
- Tail_risk_parity subject Category:Portfolio_theories.
- Tail_risk_parity comment "Tail risk parity is an extension of Risk parity concept that takes into account the behavior of the portfolio components during Tail Risk events. The goal of Tail Risk Parity approach is to protect investment portfolios at the times of economic crises and reduce the cost of such protection during normal market conditions. In Tail Risk Parity framework risk is defined as expected tail loss.".
- Tail_risk_parity label "Tail risk parity".
- Tail_risk_parity sameAs m.0100kgl6.
- Tail_risk_parity sameAs Q17082729.
- Tail_risk_parity sameAs Q17082729.
- Tail_risk_parity wasDerivedFrom Tail_risk_parity?oldid=605550575.
- Tail_risk_parity isPrimaryTopicOf Tail_risk_parity.