
doi: 10.2139/ssrn.2261831
This article introduces an algorithm for tail risk hedging and compares it to other existing methods. This algorithm adjusts the exposure level based on a measure of tail risk obtained by applying Extreme Value Theory (EVT) to estimate Conditional Value at Risk (CVaR). This method is applied to the SP additionally it can replace long/short equity hedge funds for investors who do not have access to alternative investments.
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