The recent financial crisis revealed weaknesses in traditional portfolio construction techniques. James Xiong, CFA, and Thomas M. Idzorek, CFA, discuss the opportunities to more intelligently measure risk and construct portfolios. In particular, they focus on their recent FAJ article"The Impact of Skewness and Fat Tails on the Asset Allocation Decision", which describes the way that both skewness and kurtosis affect portfolio performance. The authors discuss how M-CVaR optimization leads to substantially different allocations than do traditional mean–variance optimizations and how this approach would have been beneficial during the 2008 financial crisis.

This is an archived recording of a live event that took place on 26 May 2011.

Please note that text may be difficult to read in this recording. The presentation slides are available for download in the video player.