FIG. 01 — A PORTFOLIO WITHOUT WALLS
Build with
less locked up.
A single view of exposure. A precise place for every pledge. Better architecture for capital across venues.
Explore the architecture ↗EXPOSURE ≠ COLLATERAL OWNERSHIP
ISOLATED ALLOCATION$5.0M
↓ILLUSTRATIVE PORTFOLIO ALLOCATION$3.2M
CAPITAL RELEASED IN THIS EXAMPLE$1.8M36% less collateral allocated
Hypothetical comparison for design illustration. Actual savings require a solved portfolio model and enforceable collateral controls.
DRAWING NO. MM—002METHOD / CONVEX OPTIMIZATION
THE MATHEMATICAL FOUNDATION
Less idle collateral. A defined risk budget.
min꜀ Σⱼ Cⱼ
CVaRα(Lportfolio(C)) ≤ κ · pledge(asset, venue) ≤ 1
- Cⱼ
- Collateral allocated to venue j
- Lportfolio
- Joint liquidation loss
- κ
- Permitted residual tail loss
- pledge
- Exclusive asset-to-venue assignment
RESEARCH SCOPE: TWO SIMULATED LENDING / PERPETUAL VENUESCVXPy → SCENARIOS → ALLOCATION