It seems incredibly difficult to not only come up with a list of options for active risk of private assets (Private Equity, Private Credit, Infrastructure, Real Estate, etc.) but also get senior people agree on what the active risk limit should be. The crux of the issue appears to be modelling assets in your portfolio and choosing sensible and representative benchmarks. Are there any resources on measuring and setting active risk limits for a fund that invest both in public and private assets?
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