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Jason Buck - Designing the Cockroach Portfolio (S6E1)
Flirting with Models
How to Avoid the Case of Tail Hedging
As you add diversification, what you're getting at is your reducing variance. So one could argue that you could start increasing the implicit leverage of that portfolio to make sure you capture it. The other parts of the book don't affect the convexity of those put options. You still have those completely on the books, but the idea is over time we want our portfolio to be fairly uncorrelated during risk on and then we want correlation converged to negative one and risk off.
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