标题: [原创]Black-Litterman model black out [打印本页]

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作者: dvilayphet    时间: 2013-9-30 19:03     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 ?

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作者: 童老师    时间: 2013-9-30 19:20

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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