Tail risk parity

Tail risk parity is an extension of the risk parity concept that takes into account the behavior of the portfolio components during tail risk events. The goal of the 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 the tail risk parity framework risk is defined as expected tail loss. The tail risk parity concept is similar to drawdown parity

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