Chap027博迪，凯恩，马库斯《投资学》课件_精品.pptVIP

27-* Investments, 8th edition Bodie, Kane and Marcus Slides by Susan Hine McGraw-Hill/Irwin Copyright ? 2009 by The McGraw-Hill Companies, Inc. All rights reserved. CHAPTER 27 The Theory of Active Portfolio Management Overview Treynor-Black model Optimization using analysts’ forecasts of superior performance Adjusting model for tracking error Adjusting model for analyst forecast error Black-Litterman model Table 27.1 Construction and Properties of the Optimal Risky Portfolio Table 27.2 Stock Prices and Analysts’ Target Prices for June 1, 2006 Figure 27.1 Rates of Return on the SP 500 (GSPC) a