In economics and finance, a holy grail distribution is a probability distribution with positive mean and right fat tail — a returns profile of a hypothetical investment vehicle
that produces small returns centered on zero and occasionally exhibits outsized positive returns.
 Asset classes tend to have strong negative returns when stock market crises take place.
When a market sells off strongly these options pay back and generate a strong positive outlier that “minus-Taleb” distribution features.
Protection of a diversified investment portfolio from market crashes (extreme events) can be achieved by using a tail risk parity approach, allocating a piece of the portfolio
to a tail risk protection strategy, or to a strategy with Holy grail distribution of returns.
[‘1. “Non-normality of Market Returns” (PDF).
2. ^ “New Normal Investing: Is the (Fat) Tail Wagging Your Portfolio?” (PDF).
3. ^ “Introduction to Tail Risk Parity” (PDF).
4. ^ “A Comparison of Tail Risk Protection Strategies in the U.S. Market”
5. ^ “Risk Parity, Tail Risk Parity and the Holy Grail Distribution” (PDF).
6. ^ “Holy Grail Distribution – the missing piece of every investment portfolio”.
Photo credit: https://www.flickr.com/photos/menegue/14982802401/’]