controlling tail risk to reduce drawdowns thus increasing possibilities of achieving long-term objectives. Recently, so called … mitigate tail risk and produce better risk-adjusted returns. Essentially these are rule-based backward looking strategies in … which no optimization is considered. In this contribution we focus on the role of volatility in downside risk reduction and …

regularities by developing a new firmbased trade model wherein managers are risk averse. Higher volatility induces the reallocation …