Showing papers by "Robert D. Arnott published in 1998"
TL;DR: In this paper, the authors argue that portfolio insurance is costly, imposes an artificial calendar time horizon, and increases (decreases) effective equity exposure after bull (bear) markets.
Abstract: Portfolio insurance, long-term asset allocation, tactical asset allocation, and option writing are alternatives for managing portfolio risk. The author argues that portfolio insurance is costly, imposes an artificial calendar time horizon, and increases (decreases) effective equity exposure after bull (bear) markets. A combination of tactical asset allocation and option writing may be less expensive than portfolio insurance, mitigates artificial time horizons, and increases (decreases) effective equity exposure after bear (bull) markets.
6 citations
Posted Content•
TL;DR: In this paper, a tactical asset allocation process most typically adds value during the volatile periods of the market cycle, when there is substantial divergence in asset class returns, and a tactical options program will add value during trendless periods of market cycle.
Abstract: A tactical asset allocation process most typically adds value during the volatile periods of the market cycle, when there is substantial divergence in asset class returns. A tactical options program will add value during the trendless periods of the market cycle. Two such programs together are highly complementary, providing a mechanism to add value during the inevitable quiet - hence unprofitable - periods for TAA. The authors discuss simulated results.
3 citations