标题:
[原创]Black-Litterman model black out
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作者:
dontknow1987
时间:
2013-8-19 14:51
标题:
[原创]Black-Litterman model black out
The analyst backs out the implied market risk premium and covariances of the assets from value-weighted global market index.
吾係透過指數的standard deviation 和covariance 找出預算收益,而係找出風險溢價 和 covariance ?
作者:
HuskyGrad2010
时间:
2013-8-19 14:52
通过global index的weighting,standard deviation和covariance得出预期收益,得到预期收益同时知道weighting不就计算出market risk premium吗
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