Program details - Day 6

6+ hrs lectures + 2 hrs review sessions

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How to pick the equilibrium portfolio weights in Black-Litterman approach?
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Summary of the Black-Litterman approach
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Why the risk aversion parameter does not affect the computations in Black-Litterman approach?
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Multi-period views processing
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Comparison between minimum relative entropy and Black-Litterman approach
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Why score signals in portfolio construction?
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Why don’t we estimate the conditional expectation implied by a signal as in the Estimation step of the Checklist?
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Summary of the ten steps of the “Checklist”
(*) only mentioned in class, all details provided in the ARPM Lab

Program at a glance

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