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- 2011-7-11
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- 2016-4-19
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Portfolfio management question
In schweser, in reading 67 (PM), when describing Treynor Black....
RE: The graph showing A the actively managed portifolio, P the optimal risky portfolio and M the passive index portfolio along the efficient frontier... A, the actively managed one, produces a return/risk less "efficient" than the CAL. Why is that? I thought by actively managing a portfolio, giving weighting to high alpha, low risk assets the portfolio would be the optimal one and therefore lie where P does, on a tangent to the CAL?
Am I missing something really obvious here?
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发表于 2011-7-13 13:28
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