You do need to know how to calculate an investor's exposure in the risky portfolio M, and the rest being in a rf asset. That's at the beginning of the CFA chapter on Active Portfolio Management.
Other than that, adjust analyst's alpha by R2. That's easy.
Other than that, know how to weight analyst alpha and reconstitute the portfolio. Study the metrics behind Treynor Black, it's not difficult. |
发表于 2011-7-11 19:35
|