The function t(e) is the "target function". For example, it could be the marginal risk contributions, the marginal return contributions, or a ratio between the two.
In the most simple case, i.e., the original Exposure Stacking, the function is just the identify function such that t(e) = e.
Resampled Portfolio Stacking is simply the generalized version of Exposure Stacking that allows for other target functions than the exposures.
What is the definition of the function t?
Thank you for your question, Ilkay.
The function t(e) is the "target function". For example, it could be the marginal risk contributions, the marginal return contributions, or a ratio between the two.
In the most simple case, i.e., the original Exposure Stacking, the function is just the identify function such that t(e) = e.
Resampled Portfolio Stacking is simply the generalized version of Exposure Stacking that allows for other target functions than the exposures.
You can find more perspectives on these targets in Section 6.4.4 in the Portfolio Construction and Risk Management book: https://antonvorobets.substack.com/p/pcrm-book