Brownian portfolio exposures
= Brownian portfolio exposures
{c}
{title2=$dw=\cdots\,dt+\sum_j y_j\,dW^j$}
Brownian portfolio exposures are the coefficients $y_j$ of independent <Brownian motions> in the wealth equation. An invertible asset volatility matrix lets one optimize directly over these exposures. The drift risk premium is then the dot product of exposures with the <market price of risk> vector.