Hedging Extreme Co-Movements
  Based on a recent theorem due to the authors, it is shown how the extreme tail dependence between an asset and a factor or index or between two assets can be easily calibrated. Portfolios constructed with stocks with minimal tail dependence with the market exhibit a remarkable degree of decorrelation with the market at no cost in terms of performance measured by the Sharpe ratio. 
Y. Malevergne (Univ. Nice and Univ. Lyon) and D. Sornette (CNRS-Univ.   Nice and UCLA)