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If you have historical values for market cap, liquidity and value of risk then you can backtest by simply using a rolling window. If there is something in particular you are struggling with, consider editing your question.


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I would suggest to start with Euler capital allocation as a first step to dive into the subject, here is an example of introductory paper (Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle, Dirk Tasche). In general, I don't think that you will find any satisfactory theory on the subject for practical uses beyond the case of an ...


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