Creating portfolio risk and return models [44]

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Bullet points include: Costs, including taxes In theory behave as akin to a drag on performance In practice, however, can considerably complicate the algorithms Especially if non-proportional Risk budgeting How to set the right risk appetite? Including options As they have asymmetric payoffs can generate very leveraged outcomes Can be sensitive to choice of risk measure, and selected strategy may then merely optimise relative to quirks in that risk measure

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