PT  - JOURNAL ARTICLE
AU  - Alexandre Hocquard
AU  - Sunny Ng
AU  - Nicolas Papageorgiou
ED  - Benrud, Erik
TI  - Practical Applications of A Constant-Volatility Framework for Managing Tail Risk
AID  - 10.3905/pa.2014.1.3.021
DP  - 2014 Jan 31
TA  - Practical Applications
PG  - 1--3
VI  - 1
IP  - 3
4099  - https://pm-research.com/content/1/3/1.2.short
4100  - https://pm-research.com/content/1/3/1.2.full
AB  - A Constant-Volatility Framework for Managing Tail Risk Alexandre Hocquard Sunny Ng Nicolas Papageorgiou This Practical Applications report details a strategy for managing tail risk that limits the extent of large losses and produces higher average returns. It lays out how portfolio managers can use futures contracts to hedge tail risk by dynamically adjusting the distribution of a portfolio to be closer to a normal distribution with a target level of volatility.The report is based on an interview with co-author Nicolas Papageorgiou, Associate Professor of Finance at HEC Montreal and Director of Quantitative Research at Pavilion Advisory Group in Montreal. He is co-author of the source article, A Constant-Volatility Framework for Managing Tail Risk , which appeared in the Winter 2013 issue of The Journal of Portfolio Management .In the report, Papageorgiou discusses the importance of volatility targets, portfolio distribution models and futures overlays.The article’s co-authors are Alexandre Hocquard, Director of Quantitative Strategies and Portfolio Manager at Pavilion Advisory Group , and Sunny Ng, Director of Research at Morningstar Asia in Hong Kong.