Pertanyaan tentang penentuan ukuran posisi untuk strategi multi-aset

Diterjemahkan otomatis dari aslinya · Baca versi asli (English)

Saya mencoba memahami penentuan ukuran posisi yang disesuaikan risiko di seluruh portofolio yang mencakup ekuitas tradisional dan beberapa aset alternatif dengan likuiditas lebih rendah. Ketika Anda menghitung sesuatu seperti VAR atau kekurangan yang diharapkan, terutama dengan peristiwa risiko ekor, bagaimana Anda secara praktis memperhitungkan profil likuiditas yang berbeda saat menentukan ukuran posisi aktual? Apakah itu murni faktor yang diterapkan pada alokasi modal, atau apakah beberapa dari Anda secara efektif 'mengurangi ukuran' aset yang kurang likuid secara lebih agresif dalam alokasi awal?

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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