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- Q7839628 subject Q7485053.
- Q7839628 abstract "In Finance the Treynor–Black model is a mathematical model for security selection published by Fischer Black and Jack Treynor in 1973. The model assumes an investor who considers that most securities are priced efficiently, but who believes he has information that can be used to predict the abnormal performance (Alpha) of a few of them; the model finds the optimum portfolio to hold under such conditions.In essence the optimal portfolio consists of two parts: a passively invested index fund containing all securities in proportion to their market value and an 'active portfolio' containing the securities for which the investor has made a prediction about alpha. In the active portfolio the weight of each stock is proportional to the alpha value divided by the variance of the residual risk.".
- Q7839628 wikiPageExternalLink hwcv-112.pdf.
- Q7839628 wikiPageWikiLink Q1195348.
- Q7839628 wikiPageWikiLink Q1669733.
- Q7839628 wikiPageWikiLink Q1677226.
- Q7839628 wikiPageWikiLink Q2651003.
- Q7839628 wikiPageWikiLink Q274111.
- Q7839628 wikiPageWikiLink Q43015.
- Q7839628 wikiPageWikiLink Q724931.
- Q7839628 wikiPageWikiLink Q7485053.
- Q7839628 wikiPageWikiLink Q963275.
- Q7839628 comment "In Finance the Treynor–Black model is a mathematical model for security selection published by Fischer Black and Jack Treynor in 1973.".
- Q7839628 label "Treynor–Black model".