Action Learning

Protecting a Portfolio of Risky Assets

QMA Example Project

Design one or more strategies to protect a portfolio of risky assets from the potential of a major market sell-off, while enabling it to participate in further market appreciation should the current bull market persist.

These strategies could be backward looking, such as portfolio insurance strategies, or they could be based on signals of future market performance.

Test these strategies based on actual historical data or by using Monte Carlo or bootstrapping simulation.

Describe the tradeoffs associated with each of these strategies.