robust with respect to a volatility measure and provide direct policy implications for portfolio composition and hedging. …

We analyze hedging strategies that minimize tail risk measured by Value-at-Risk (VaR) or Conditional-Value-at-Risk …-switching models. Using cross-hedging examples, we theoretically and empirically demonstrate that tail-risk-minimal strategies can … nonparametric and extreme-value-theory-based methods. These results imply that the proposed methodology for tail risk management can …