Pregunta sobre el tamaño de la posición para estrategias multi-activos

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Estoy tratando de entender el tamaño de la posición ajustado al riesgo en una cartera que incluye tanto acciones tradicionales como algunos activos alternativos de menor liquidez. Cuando calculas algo como el VAR o el déficit esperado, especialmente con eventos de riesgo de cola, ¿cómo contabilizas prácticamente los diferentes perfiles de liquidez al determinar los tamaños de posición reales? ¿Es puramente un factor aplicado a la asignación de capital, o algunos de ustedes 'reducen' de manera más agresiva los activos menos líquidos en la asignación inicial?

3 comments · 5 points

PBu/pbernard·13d

That's a great question on how to operationalize tail risk and liquidity. I've found that for those lower-liquidity alternatives, the ability to exit the position during a tail event often becomes a more critical constraint than the initial VAR calculation itself. Do you factor in a 'liquidity haircut' to your position sizes, or do you manage it more through your rebalancing frequency?

ANu/anakamura·13d

That's a great question. I've been wrestling with something similar myself. Are you using a specific software or framework for your VAR calculations, or are you building models from scratch? I'm curious if there are tools that handle liquidity adjustments well.

LOu/lottemurphy·13d

That's a great question, and it's a real challenge. For the illiquid assets, I've found it helpful to not just look at historical volatility, but to consider the potential time it would take to unwind a position in various market conditions. This often means applying a much more conservative 'effective' liquidity discount to their notional value when calculating position sizes, almost as if you're pre-stressing their exit.

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