标题: Treynor Black Model - Calculating the weights in optimal portfolio [打印本页] 作者: IAmNeil 时间: 2011-7-13 13:23 标题: Treynor Black Model - Calculating the weights in optimal portfolio
Hi there,
I noticed that calculating the exact weight of Active Portfolio A in the Optimal Portfolio P is not addressed in Schweser material.
Will this calculation be a likely question or is it safe to ignore the exact calculation.
I am leaning towards just understanding the nuances of the concept?
Your opinions are much appreciated.
Best of luck to you all in your forthcoming exams.作者: yalo 时间: 2011-7-13 13:23
do you mean the (alpha/Std error)/sum(alpha/std errors) equation? thats for allocation in the active protfolio. As far as allocation between active and market and RFR i have to go back and check.作者: CPATrader 时间: 2011-7-13 13:23
I am pretty sure it is no longer required to use it - just to understand the topic. See the actual LOS for the item.作者: RepoToronto 时间: 2011-7-13 13:23
Not required作者: chaojimali 时间: 2011-7-13 13:23
Thanks for all your responses.
Spanishesk - I did not mean the weights of individual assets within the Active Portfolio A. I was referring to the weights of A and Market Portfolio M in the Optimal Portfolio P.
Best of luck to you all in your forthcoming exams.
