The following paper may be of interest to you. It explores allocation limits for single and (symmetrical) multi-asset cases (in the context of blackjack, as a precursor to a further, pending paper on this focused on capital markets implementations).

In short, the paper goes into maximizing risk-adjusted returns (as opposed to simply seeking to maximize risk, all else be damned), so as to construct money management strategies that are mathematically optimal in a risk-return context (e.g. MAR ratios, etc.)

The techniques are things that are not only germane for any portfolio of assets (save buy and hold) but even more so for those where portfolio insurance (or some other measure of tapering commitment is involved, such as leveraged ETFs or inverse ETFs) where we find there is an (risk-adjusted returns optimal) upper bound in terms of percentage commitment, and it is not only < 100%, it is < the growth-optimal point (Often referred to as the Kelly Criterion — herein we specify two other points on the growth function that are optimal in terms of risk-adjusted returns).


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