Shared Flashcard Set

Details

Investment
Investment flash cards
4
Finance
Graduate
12/02/2014

Additional Finance Flashcards

 


 

Cards

Term
Sources of performance (or abnormal return)
Definition
  • Market timing (or factor timing)
  • Stock selection
  • Economies of scale
Term
Black-Litterman model
Definition

The Black-Litterman model provides
more stable estimates of mean

  • Covariance needs to be estimated
    (eg, historical covariance)

• Number of assets should be small (why?)
• Thus, appropriate for asset allocation

  • The estimated mean can be used as inputs in the mean-varianceapproach, for example

 

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