please tell me this is from prior years curriculum. I saw it on 2007 morning section and have no recollection of covering.
Don’t recognize it. FYI I think it is another example of a type of optimization strategy. So it would be Sharpe’s method of optimizing portfolio weights, contrasting with black-litterman, mean-variance, resampled MV, etc.
I had this encounter as well. I didn’t find it in the curriculum so I made the same assumption as you. If someone believes this is part of 2009, please chime in. Sarcastic responses invited.
is this another term for returns based style analysis, where you regress the portfolio against a series of indexes to gauge how much (style weight/R^2) of the index explains the returns of the portfolio?
If you run the normal multi-factor model, it is possible to get negative exposure to certain market factors. It does not make sense to be short for long only managers I think Sharpe’s technique forces the regression to be run with no short selling constraint…so that the manager can have only have + exposure to market factors