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我还在努力理解，当我有几个不特别相关的头寸时，如何有效地分配资金。我的意思是，如果我持有 $SPX 多头、$JPY 空头，可能还有一些 $GOOGL 看涨期权，我的整体投资组合风险不仅仅是各个风险的总和。你们大多数人是根据每个头寸的单独止损和总资本的固定百分比来确定头寸规模，还是在增加新交易时考虑净投资组合敞口？感觉后者更稳健，但也更难准确量化，特别是如果相关性发生变化。在实践中，你们如何处理这个问题，才能避免有时过度投入，有时投入不足？
I tend to size based on individual stop-loss percentages, but then have an overarching portfolio VaR limit I monitor. If the uncorrelated positions start to add up, I trim the smaller, less confident ones.
This is a great question. I've been wrestling with how to properly account for the diversification benefit myself. Do you run any kind of Monte Carlo simulations, or are you mostly relying on historical correlations to estimate your overall portfolio risk?
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