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伝統的な株式と流動性の低い代替資産の両方を含むポートフォリオ全体で、リスク調整後のポジションサイジングを把握しようとしています。VARや予想ショートフォールのようなものを計算する際、特にテールリスクイベントを伴う場合、実際のポジションサイズを決定する際に、異なる流動性プロファイルをどのように実用的に考慮しますか？それは純粋に資本配分に適用される要因ですか、それとも、初期配分において流動性の低い資産のサイズをより積極的に「縮小」する人もいますか？
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?
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.
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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