By West G.
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The scalar τ is more or less inversely proportional to the relative weight given to the implied equilibrium returns. The only issues outstanding are the parameter τ and the calibration factor c. These problems are in fact related, and the literature is not clear about resolving this problem. 8) where again K is the risk aversion parameter (and again K can be eliminated if desired). If all views are relative views then only the stocks which are part of those views will have their weights affected.
These problems are in fact related, and the literature is not clear about resolving this problem. 8) where again K is the risk aversion parameter (and again K can be eliminated if desired). If all views are relative views then only the stocks which are part of those views will have their weights affected. If there are absolute views then all the stocks will have change in returns and weights, since each individual return is linked to the other returns via the covariance matrix of returns. As usual as soon as there are constraints on short selling the model is much more difficult to use.
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An introduction to modern portfolio theory by West G.