We provide a two-stage portfolio selection procedure in order to increase the diversification
benefits in a bear market. By exploiting tail dependence-based risky measures a first-step
cluster analysis is carried out for discerning between assets with the same performance
during risky scenarios. Then a mean-variance efficient frontier is computed by fixing a
number of assets per portfolio and by selecting only one item from each cluster. Empirical
calculations on the EURO STOXX 50 prove that investing on selected index components in trouble periods may improve the risk-averse investor portfolio performance.
