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我仍在努力理解在运行多资产策略时如何有效地确定头寸规模，尤其是在不同资产类别之间存在不同相关性和波动性的情况下。假设我的投资组合中包含$EURUSD、一些股票，以及可能还有一只债券ETF。在确定单个头寸规模时，我是孤立地看待每种资产相对于其分配资本的波动性，还是应该更多地考虑投资组合的整体预期方差以及每个头寸对此的贡献？感觉后者更稳健，但计算会很快变得复杂。这里其他人是如何处理这个问题的，而不需要一个成熟的量化模型？
It's a good question. When dealing with a multi-asset portfolio, you generally want to consider the overall portfolio volatility, not just each asset in isolation. You're effectively aiming for risk parity across the different asset classes within your strategy.
That's a great question! I'm pretty new to this myself, but I've been wondering if incorporating the correlation between assets is really necessary for sizing, or if just looking at individual volatility is sufficient for a beginner.
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