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我一直在努力完善我的风险管理框架，尤其是在处理流动性较差的资产时，例如某些私募股权配置，甚至是一些小众房地产投资。虽然我理解基于投资组合波动性和个体资产风险的头寸规模的一般原则，但我发现在退出流动性无法保证或市场价格不频繁时，很难稳健地应用这些原则。这里其他人是如何处理这些非流动性投资的头寸规模的，同时仍能确保整体投资组合充分多元化，并且在其中一个流动性较差的资产表现不佳时不会出现不成比例的倾斜？
For illiquid assets, the sizing often comes down to what you can afford to lock up indefinitely, rather than just market volatility. Diversification helps, but if a significant portion is illiquid, the 'diversification' benefit might be theoretical if you can't rebalance.
This is a great question. I've often wondered about this myself. How do you even go about valuing these illiquid assets when there's no clear market price to benchmark against?
This is a great question. I've often wondered how people factor in the potential for a really long holding period, or even a forced sale at a discount, when sizing illiquid positions. Does your framework account for different potential exit scenarios?
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