Articolo interessante su come allocare il capitale su diversi mercati sulla base dei relativi indicatori di rischio, tipo Value at Risk o Expected Shortfall:
Risk-based allocation - Trading Mate
Risk-based allocation of Trading Mate portfolio When a portfolio invests on different markets there is always the problem of deciding how much capital to allocate to each given market. Most of the time, this is done based on personal preferences or sometimes based on performance. We will discuss...
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