Treynor-Black portfolio weights are sensitive to large alpha values, which can result in practically infeasible long/short portfolio
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Treynor-Black portfolio weights are sensitive to large alpha values, which can result in practically infeasible long/short portfolio positions. The full-blown Markowitz optimal risky portfolio is also extremely sensitive to assumptions for expected return. L02
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Related Book For 
ISE Investments
ISBN: 9781266085963
13th International Edition
Authors: Zvi Bodie, Alex Kane, Alan Marcus
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