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PatMiller_1


Total Posts: 1
Joined: Jul 2017
 
Posted: 2017-07-07 11:09
Hi guys,

I was trying to find resources on how to manage short positions on liquid underlyings like ETFs. I could not find much research.

How do HFs go about their short positions..? If the stock goes down - would you short more in order to keep your exposure the same. the compounding effect that works for you on a long position doesn't help here.

thanks

fomisha


Total Posts: 28
Joined: Jul 2007
 
Posted: 2017-07-12 22:51
risk management and sizing specifically are huge topics with tons of research on it.
first, you need to specify your constraints and objectives. then you can mathematically formulate what the "optimal" sizing/rebalancing in that sense means. are you trying to maximize the wealth growth rate at the infinite time? the probability of the bonus payment at the end of this year? minimize the chance of going out of business for any combination of reasons including blowing up or not making enough money?
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