Clue: Tycoon requiring a wig, lacking leadership: a word of caution about this arse (6,5)
Answer: DONALD TRUMP
Explanation: Definition: Tycoon
A charade of DONALDT, an envelope ('about this') of [b]ALD ('requiring a wig') minus its first letter ('lacking leadership') in DON'T ('a word of caution'); plus RUMP ('arse'), with an extended definition.