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Customizing the optimal derivative written on an “instrument” risk to hedge an exogenous pecuniary risk is only examined in a few works assuming specific objective function and/or distribution of the risks. We show that this problem is closely-related to a previously un-examined...
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The management of capacity is considered from the perspective of institutional asset owners. How capacity differs across asset classes is outlined. Investment strategies that offer greater capacity are identified. A discussion of capacity management for multi-asset portfolios highlights how...
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We construct portfolios based on characteristic weights and develop a novel way to measure capacity of these portfolios to absorb capital. Our estimates suggest that portfolio capacity is the highest for fundamental-weights, whereas portfolios based on momentum, equal risk budget, and equal...
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