This paper explores how a put option changes the probability distribution of portfolio value. The paper extends the … portfolio distribution to measure riskiness and compare different put options. I report a so-called ‘quantile surface’ that … decrease the quantile, which is equivalent to increasing the riskiness of the portfolio, and leads me to ask: what return will …

measures of Valuation and Momentum applied to a baseline balanced portfolio of equities and fixed income (see Blitz and van … that historically, these Valuation-and-Momentum-driven investment approaches have produced higher returns and more … question of how such an approach could be implemented and would have performed in the context of an All-Equity portfolio, where …

VAA (Vigilant Asset Allocation) is a dual-momentum based investment strategy with a vigorous crash protection and a …

In this short note, we show investors one way to calculate ideal investment sizing by using two rules of thumb based on …

combines a more robust “All Weather” portfolio with even slower growth-trend (GT) filter and a faster market crash …, we adapt LAA in three steps. First, the (risky, near-static) portfolio is changed to an even more robust and more … diversified “all-weather” portfolio, now with five (instead of four) equal weighted assets and with only bonds as risk-off assets …