I have a weighted portfolio with several assets and weights.
Liquidity of my assets varies from low to high and concentration of assets in the portfolio change from one asset to another, for example asset 1 may represent 5% of the portfolio with volume = 1.000.000,00 USD when asset 2 has 40% of the portfolio with volume = 200.000.000,00 USD over the same period.
How can I measure the average liquidity of my portfolio to compare it's traddability with another portfolios with differents assets and weights ?
My first idea is simply to mean the all assets volume over a given period but unfortunatly it doesn't takes into account weights of every single assets in the portfolio.
Second idea is to weight trading volume by it's corresponding asset's weight. For example liquidity of asset 1 would be
$1.000.000 * 0.05 = $50.000 and liquidity of asset 2 would be
200.000.000,00 * 0.4 = $80.000.000
Is this consistent with a measure of the average liquidity of a weighted portfolio ?