Tail risks
- Reconsidering Hedge Fund ContagionRichard Sias, H.J. Turtle and Blerina ZykajThe Journal of Alternative Investments June 2018, 21 (1) 27-38; DOI: https://doi.org/10.3905/jai.2018.21.1.027
- Machine Learning for Recession Prediction and Dynamic Asset AllocationAlexander James, Yaser S. Abu-Mostafa and Xiao QiaoThe Journal of Financial Data Science July 2019, 1 (3) 41-56; DOI: https://doi.org/10.3905/jfds.2019.1.007
- Hedging High-Yield and Emerging Market Bond Tail Risk with VIX® FuturesBerlinda Liu and Hong XieThe Journal of Alternative Investments September 2019, 22 (2) 81-98; DOI: https://doi.org/10.3905/jai.2019.1.080
- Expected Shortfall Asset Allocation: A Multi-Dimensional Risk-Budgeting FrameworkEmmanuel Jurczenko and Jérôme TeiletcheThe Journal of Alternative Investments September 2019, 22 (2) 7-22; DOI: https://doi.org/10.3905/jai.2019.1.078
- The Impact of Volatility TargetingCampbell R. Harvey, Edward Hoyle, Russell Korgaonkar, Sandy Rattray, Matthew Sargaison and Otto Van HemertThe Journal of Portfolio Management October 2018, 45 (1) 14-33; DOI: https://doi.org/10.3905/jpm.2018.45.1.014
- Correction Mechanisms Shall Set Us FreeGene PhillipsThe Journal of Structured Finance October 2018, 24 (3) 38-51; DOI: https://doi.org/10.3905/jsf.2018.24.3.038
- Preparing a Multi-Asset Class Portfolio for Shocks to Economic GrowthEugene Podkaminer, Wylie Tollette and Laurence SiegelThe Journal of Portfolio Management December 2018, 45 (2) 106-116; DOI: https://doi.org/10.3905/jpm.2018.45.2.106
- Right Tail Hedging: Managing Risk When Markets Melt UpVineer BhansaliThe Journal of Portfolio Management July 2018, 44 (7) 55-62; DOI: https://doi.org/10.3905/jpm.2018.44.7.055
- Municipal Bond Trading, Information Relatedness, and Natural DisastersBrittany Cole, Bonnie Van Ness and Robert Van NessThe Journal of Trading July 2018, 13 (3) 24-43; DOI: https://doi.org/10.3905/jot.2018.1.063
- Portfolio Optimization Strategy for Concentrated Portfolios: Models and Time HorizonsSarah J. Campbell, James Chong, William P. Jennings and G. Michael PhillipsThe Journal of Wealth Management July 2018, 21 (2) 39-54; DOI: https://doi.org/10.3905/jwm.2018.1.064
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