Can simple technical analysis add value to index option selling investment strategies? To test this, I propose a dynamic allocation approach to construct option writing portfolios. Unlike the standard passive Buy-Write (covered call) and Collateralized Put-Write strategies, an active leveraged...

Draw-down losses from a previously reached maximum portfolio wealth level, is an important risk measure for investment management. In this study, we present a discrete trading strategy to directly control a portfolio's maximum percentage of drawdown within a target level while maximizing the...