The question is not if you can build a portfolio where the expected gains conditional on AGI is positive, it’s whether you can get enough of an advantage that it outweighs the costs of doing so, and in expectation outperforms the obvious alternative strategy of index funds. If you’re purely risk-neutral, this is somewhat easier. Otherwise, the portfolio benefits of reducing probability of losses are hard to beat.
You also may have cases where P(stock rises | AGI by date X)>>P(Stock rises), but P(stock falls | ~AGI by date X) is high enough not to be worthwhile.
The question is not if you can build a portfolio where the expected gains conditional on AGI is positive, it’s whether you can get enough of an advantage that it outweighs the costs of doing so, and in expectation outperforms the obvious alternative strategy of index funds. If you’re purely risk-neutral, this is somewhat easier. Otherwise, the portfolio benefits of reducing probability of losses are hard to beat.
You also may have cases where P(stock rises | AGI by date X)>>P(Stock rises), but P(stock falls | ~AGI by date X) is high enough not to be worthwhile.