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The previous two posts 48450/1 cover the relationship of position
size and risk well. I like the idea of managing overall exposure to
some limit.
Somewhere i read that for uncorrelated investments, there is little
point in holding more than 20 to 30 investments for the purpose of
risk minimisation (you might hold more for other reasons).
The problem with holding several stocks in one market is if that
market drops, so does your whole portfolio. The only protection then
is either
some form of stop, or to buy puts. Both reduce profit and risk. It
might be interesting if AB allowed a theoretical price to be
calculated for a n-day option at current buyprice, and for its
closure.
then you could code something like
buy=<your rule>
buyput=(ndays2expiry,percent2market(+ or -))
sell=<your rule)
closeput=sell
For those who short, corresponding calls might be bought.
Perhaps Tomasz could include this in a future release, or the present
optionpricing dll could be adapted?
Gerry
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