During tail risk events asset prices can fall significantly creating deep portfolio drawdowns.
Baitinger, Dragosch, and Topalova in their article "Extending the Risk Parity Approach to Higher Moments: Is There Any Value Added?"
propose an extension of the classical risk parity portfolio optimization approach from Maillard et al. (2010) to incorporate higher moments such as skewness and kurtosis.
[7] They present a methodology for consistently incorporating higher moments like skewness and kurtosis into the risk parity optimization framework developed by Maillard et al.
Simulation studies confirm the value of higher moment methods increases with degree of non-normality and correlation in the data.