Reading 55 Problem 1. C
I found the weight for the active portfolio w0 = -0.05124, but in the answer they make an adjustment to the final weight w*= (alfa/var)/(1+ (1-Beta)*w0 )
Why do they calc this w* ?
Reading 55 Problem 1. C
I found the weight for the active portfolio w0 = -0.05124, but in the answer they make an adjustment to the final weight w*= (alfa/var)/(1+ (1-Beta)*w0 )
Why do they calc this w* ?